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

DOI10.1016/S0378-4371(02)01938-6zbMATH Open1017.91026arXivcond-mat/0108033OpenAlexW3105766563MaRDI QIDQ1867948FDOQ1867948

Authors: I. Simonsen 

Publication date: 23 April 2003

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

Abstract: We consider the Nordic electricity spot market from mid 1992 to the end of year 2000. This market is found to be well approximated by an anti-persistent self-affine (mean-reverting) walk. It is characterized by a Hurst exponent of $Hsimeq0.41$ over three orders of magnitude in time ranging from days to years. We argue that in order to see such a good scaling behavior, and to locate cross-overs, it is crucial that an analyzing technique is used that {em decouples} scales. This is in our case achieved by utilizing a (multi-scale) wavelet approach. The shortcomings of methods that do not decouple scales are illustrated by applying, to the same dat a set, the classic $R/S$- and Fourier techniques, for which scaling regimes and/or positions of cross-overs are hard to define.

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

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zbMATH Keywords

Hurst exponentscalinganti-persistent self-affine walk

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (27)

• Global attracting set and exponential decay of coupled neutral SPDEs driven by fractional Brownian motion
• On a fractional Rayleigh–Stokes equation driven by fractional Brownian motion
• Stochastic averaging for two-time-scale stochastic partial differential equations with fractional Brownian motion
• Global attractiveness and exponential decay of neutral stochastic functional differential equations driven by fBm with Hurst parameter less than 1/2
• Harnack inequalities for functional SDEs driven by subordinate multifractional Brownian motion
• Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach
• Stability of delayed impulsive stochastic differential equations driven by a fractional Brown motion with time-varying delay
• Option pricing under fast-varying and rough stochastic volatility
• Global attracting set and exponential decay of second-order neutral stochastic functional differential equations driven by fBm
• Randomly Modulated Periodic Signals in Alberta's Electricity Market
• Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
• On continuous-time autoregressive fractionally integrated moving average processes
• Gaussian Volterra processes as models of electricity markets
• Non-Gaussian behavior of reflected fractional Brownian motion
• Stochastic pseudo-parabolic equations with fractional derivative and fractional Brownian motion
• Controllability of neutral stochastic evolution equations driven by fBm with Hurst parameter less than 1/2
• Stochastic fractional evolution equations with fractional Brownian motion and infinite delay
• A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
• A Unified Convergence Analysis for the Fractional Diffusion Equation Driven by Fractional Gaussian Noise with Hurst Index $H\in(0,1)$
• Harnack inequalities for SDEs driven by subordinator fractional Brownian motion
• \texttt{MFDFA}: efficient multifractal detrended fluctuation analysis in Python
• Global attracting sets and stability of neutral stochastic functional differential equations driven by Rosenblatt process
• Option pricing under fast‐varying long‐memory stochastic volatility
• Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion
• Boundary controllability of nonlocal Hilfer fractional stochastic differential systems with fractional Brownian motion and Poisson jumps
• Emergence of turbulent epochs in oil prices
• Profit profiles in correlated markets

Uses Software

• wmtsa

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