Time series analysis and long range correlations of Nordic spot electricity market data

被引：21
|
作者：
Erzgraber, Hartmut [1 ]
Strozzi, Fernanda [2 ]
Zaldivar, Jose-manuel [3 ]
Touchette, Hugo [1 ]
Gutierrez, Eugenio [3 ]
Arrowsmith, David K. [1 ]
机构：
[1] Univ London, Sch Math Sci, London E1 4NS, England
[2] LIUC Univ Cattaneo, Quantitat Methods Inst, I-21053 Castellanza, VA, Italy
[3] Commiss European Communities, Joint Res Ctr, I-21020 Ispra, Italy
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 26期
关键词：
Hurst exponent; Nonlinear time series analysis; Long range correlations;
D O I：
10.1016/j.physa.2008.07.030
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The electricity system price of the Nord Pool spot market is analysed. Different time scale analysis tools are assessed with focus on the Hurst exponent and long range correlations. Daily and weekly periodicities of the spot market are identified. Even though space time separation plots suggest more stationary behaviour than other financial time series, we find large fluctuations of the spot price market which suggest time-dependent scaling parameters. (c) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：6567 / 6574
页数：8
相关论文
共 50 条
  • [21] Nonlinear time series analysis on the offer behaviors observed in an electricity market
    Oh, HyungSeon
    Thomas, Robert J.
    DECISION SUPPORT SYSTEMS, 2010, 49 (02) : 132 - 137
  • [22] Analysis and Enlightenment of Long-time-scale Negative Electricity Prices in Shandong Electricity Spot Market of China During May Day Holiday
    Guan, Li
    Zhou, Lei
    Liu, Bingqi
    Tao, Hongzhu
    Luo, Zhiqiang
    Zhang, Gao
    Dianli Xitong Zidonghua/Automation of Electric Power Systems, 2024, 48 (14): : 1 - 7
  • [23] Criticality and long-range correlations in time series in classical and quantum systems
    Landa, E.
    Morales, Irving O.
    Fossion, R.
    Stransky, P.
    Velazquez, V.
    Lopez Vieyra, J. C.
    Frank, A.
    PHYSICAL REVIEW E, 2011, 84 (01):
  • [24] Measuring long-range correlations in news flow intensity time series
    Sidorov, Sergei
    Faizliev, Alexey
    Balash, Vladimir
    INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2017, 28 (08):
  • [25] Spot foreign exchange market and time series
    Petroni, F
    Serva, M
    EUROPEAN PHYSICAL JOURNAL B, 2003, 34 (04): : 495 - 500
  • [26] Spot foreign exchange market and time series
    F. Petroni
    M. Serva
    The European Physical Journal B - Condensed Matter and Complex Systems, 2003, 34 : 495 - 500
  • [27] Analysis of spot prices arrangements in deregulated electricity market
    Tehzeb-ul-Hassan
    Haral, A.
    Aslam, M. F.
    2007 INTERNATIONAL CONFERENCE ON ELECTRICAL ENGINEERING, 2007, : 341 - 345
  • [28] Long-range correlations and asymmetry in the Bitcoin market
    Alvarez-Ramirez, J.
    Rodriguez, E.
    Ibarra-Valdez, C.
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 492 : 948 - 955
  • [29] Long-Range Correlations in Air Quality Time Series: Effect of Differencing and Shuffling
    Chelani, Asha B.
    AEROSOL AND AIR QUALITY RESEARCH, 2016, 16 (09) : 2302 - 2313
  • [30] Detecting long-range correlations in time series of dorsal horn neuron discharges
    Blesic, S
    Stratimirovic, D
    Milosevic, S
    Ljubisavljevic, M
    BIOPHYSICS FROM MOLECULES TO BRAIN: IN MEMORY OF RADOSLAV K. ANDJUS, 2005, 1048 : 385 - 391
12345