Hurst analysis of electricity price dynamics
The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis.
|Date of creation:||2000|
|Date of revision:|
|Publication status:||Published in Physica A 283 (2000) 462-468.|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:wuu:wpaper:hsc0001. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron)
If references are entirely missing, you can add them using this form.