Measuring anti-correlations in the nordic electricity spot market by wavelets

DOI10.1016/S0378-4371(02)01938-6zbMath1017.91026arXivcond-mat/0108033OpenAlexW3105766563MaRDI QIDQ1867948

Ingve Simonsen

Publication date: 23 April 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0108033

zbMATH Keywords

scalingHurst exponentanti-persistent self-affine walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Uses Software

• wmtsa

Cites Work

• Unnamed Item
• Energy price risk management
• Profit profiles in correlated markets
• Ten Lectures on Wavelets
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• Introduction to Econophysics

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