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Hurst analysis of electricity price dynamics

Citations

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Cited by:

  1. Lavička, Hynek & Kracík, Jiří, 2020. "Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  2. Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008. "Time series analysis and long range correlations of Nordic spot electricity market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6567-6574.
  3. T. Di Matteo & T. Aste & M. M. Dacorogna, 2003. "Using the Scaling Analysis to Characterize Financial Markets," Papers cond-mat/0302434, arXiv.org.
  4. Afanasyev, Dmitriy O. & Fedorova, Elena A. & Popov, Viktor U., 2015. "Fine structure of the price–demand relationship in the electricity market: Multi-scale correlation analysis," Energy Economics, Elsevier, vol. 51(C), pages 215-226.
  5. Kavasseri, Rajesh G. & Nagarajan, Radhakrishnan, 2005. "A multifractal description of wind speed records," Chaos, Solitons & Fractals, Elsevier, vol. 24(1), pages 165-173.
  6. Bennedsen, Mikkel, 2017. "A rough multi-factor model of electricity spot prices," Energy Economics, Elsevier, vol. 63(C), pages 301-313.
  7. Poullikkas, Andreas & Kellas, Adonis, 2004. "The use of sustainable combined cycle technologies in Cyprus: a case study for the use of LOTHECO cycle," Renewable and Sustainable Energy Reviews, Elsevier, vol. 8(6), pages 521-544, December.
  8. Katarzyna Sznajd-Weron & Józef Sznajd, 2000. "Opinion Evolution In Closed Community," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 11(06), pages 1157-1165.
  9. Haider Ali & Faheem Aslam & Paulo Ferreira, 2021. "Modeling Dynamic Multifractal Efficiency of US Electricity Market," Energies, MDPI, vol. 14(19), pages 1-16, September.
  10. Weron, Rafal, 2000. "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 127-134.
  11. Ausloos, M & Clippe, P & Pekalski, A, 2004. "Model of macroeconomic evolution in stable regionally dependent economic fields," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 269-287.
  12. Mikkel Bennedsen, 2015. "Rough electricity: a new fractal multi-factor model of electricity spot prices," CREATES Research Papers 2015-42, Department of Economics and Business Economics, Aarhus University.
  13. Ladislav KRISTOUFEK & Petra LUNACKOVA, 2013. "Long-term Memory in Electricity Prices: Czech Market Evidence," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 407-424, November.
  14. Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, University Library of Munich, Germany.
  15. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien de Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
  16. Alvarez-Ramirez, Jose & Cisneros, Myriam & Ibarra-Valdez, Carlos & Soriano, Angel, 2002. "Multifractal Hurst analysis of crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(3), pages 651-670.
  17. Erdős, Péter & Li, Youwei & Liu, Ruipeng & Mende, Alexander, 2021. "Same same but different – Stylized facts of CTA sub strategies," International Review of Financial Analysis, Elsevier, vol. 74(C).
  18. Park, Haesun & Mjelde, James W. & Bessler, David A., 2006. "Price dynamics among U.S. electricity spot markets," Energy Economics, Elsevier, vol. 28(1), pages 81-101, January.
  19. Rafal Weron, 2001. "Measuring long-range dependence in electricity prices," Papers cond-mat/0103621, arXiv.org.
  20. Wang, Xiao-Tian & Yan, Hai-Gang & Tang, Ming-Ming & Zhu, En-Hui, 2010. "Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 452-458.
  21. Mulligan, Robert F., 2017. "The multifractal character of capacity utilization over the business cycle: An application of Hurst signature analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 147-152.
  22. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
  23. Juraj Čurpek, 2019. "Time Evolution of Hurst Exponent: Czech Wholesale Electricity Market Study," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2019(3), pages 25-44.
  24. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
  25. Balcerek, Michał & Burnecki, Krzysztof, 2020. "Testing of fractional Brownian motion in a noisy environment," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
  26. Laurie Buys & Desley Vine & Gerard Ledwich & John Bell & Kerrie Mengersen & Peter Morris & Jim Lewis, 2015. "A Framework for Understanding and Generating Integrated Solutions for Residential Peak Energy Demand," PLOS ONE, Public Library of Science, vol. 10(3), pages 1-20, March.
  27. Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
  28. Burnecki, Krzysztof & Kukla, Grzegorz & Weron, Rafał, 2000. "Property insurance loss distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(1), pages 269-278.
  29. Alvarez-Ramirez, J. & Escarela-Perez, R. & Espinosa-Perez, G. & Urrea, R., 2009. "Dynamics of electricity market correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(11), pages 2173-2188.
  30. Andrés Oviedo-Gómez & Sandra Milena Londoño-Hernández & Diego Fernando Manotas-Duque, 2021. "Effects of the COVID-19 Pandemic on the Spot Price of Colombian Electricity," Energies, MDPI, vol. 14(21), pages 1-14, October.
  31. Alvarez-Ramirez, Jose, 2002. "Characteristic time scales in the American dollar–Mexican peso exchange currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 309(1), pages 157-170.
  32. Marossy, Zita, 2011. "A villamos energia áralakulásának egy új modellje [A new model for price movement in electric power]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 253-274.
  33. Z. Sun & P. A. Hamill & Y. Li & Y. C. Yang & S. A. Vigne, 2019. "Did long-memory of liquidity signal the European sovereign debt crisis?," Annals of Operations Research, Springer, vol. 282(1), pages 355-377, November.
  34. Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003. "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics 0303007, University Library of Munich, Germany.
  35. Fan, Qingju, 2016. "Asymmetric multiscale detrended fluctuation analysis of California electricity spot price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 252-260.
  36. Wang, Jian & Huang, Menghao & Wu, Xinpei & Kim, Junseok, 2023. "A local fitting based multifractal detrend fluctuation analysis method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
  37. Pakrashi, Vikram & Kelly, Joe & Harkin, Julie & Farrell, Aidan, 2013. "Hurst exponent footprints from activities on a large structural system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1803-1817.
  38. Alvarez-Ramirez, Jose & Escarela-Perez, Rafael, 2010. "Time-dependent correlations in electricity markets," Energy Economics, Elsevier, vol. 32(2), pages 269-277, March.
  39. Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
  40. Rypdal, Martin & Løvsletten, Ola, 2013. "Modeling electricity spot prices using mean-reverting multifractal processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 194-207.
  41. Martin Rypdal & Ola L{o}vsletten, 2012. "Modeling electricity spot prices using mean-reverting multifractal processes," Papers 1201.6137, arXiv.org.
  42. Kracík, Jiří & Lavička, Hynek, 2016. "Fluctuation analysis of high frequency electric power load in the Czech Republic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 951-961.
  43. Mulligan, Robert F., 2014. "Multifractality of sectoral price indices: Hurst signature analysis of Cantillon effects in disequilibrium factor markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 252-264.
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