Multifractal detrended cross-correlation analysis of Indian Electricity market

被引:0
|
作者
Pal, Mayukha [1 ,2 ,3 ]
Rao, P. Madhusudana [2 ]
Manimaran, P. [1 ]
机构
[1] CR Rao Adv Inst Math Stat & Comp Sci, Prof CR Rao Rd, Hyderabad 500046, Andhra Pradesh, India
[2] Jawaharlal Nehru Technol Univ, Coll Engn, Hyderabad 500085, Andhra Pradesh, India
[3] GE Co, India Innovat Ctr, Secunderabad 500003, India
关键词
Electricity market time series; Multifractal detrended Cross-correlation Analysis; Hurst scaling exponent; TIME-SERIES; SPOT;
D O I
暂无
中图分类号
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号
0807 ; 0820 ;
摘要
In this paper, we investigate the cross-correlation behavior and multifractal characteristics of Indian electricity energy exchange rate time series of two extreme season's i. e. summer and winter through the recently developed multifractal detrended cross-correlation analysis method. For this purpose, we have collected the time series over 15 min time interval of the electricity market clearing volume and price before transmission congestion during peak summer i. e. month of May and peak winter i. e. month of December for the years 2012, 2013 and 2014. The cross-correlation analysis was carried out between volume and price of summer and winter data. From our analysis, we observe a cross over in time scale s* of the fluctuation function and the scaling exponents were calculated for long term (> s*) and short term (< s*). For long term, cross-correlation behavior between price and volume show strong anti persistent behavior for both for summer and winter whereas in short-term, cross-correlation show persistent behavior for both summer and winter except summer in the year 2012. The multifractal nature is present in all the bivariate time series in all the years.
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页数:4
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