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

DOI10.1016/S0378-4371(02)01938-6MaRDI QIDQ1867948zbMATHOpenAlexFDO

Authors I. 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

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)

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.

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Cites work

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• Ten Lectures on Wavelets

Cited in

(27)

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• Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
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• On continuous-time autoregressive fractionally integrated moving average processes
• A Unified Convergence Analysis for the Fractional Diffusion Equation Driven by Fractional Gaussian Noise with Hurst Index $H\in(0,1)$
• Stochastic averaging for two-time-scale stochastic partial differential equations with fractional Brownian motion
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• Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach
• Global attracting sets and stability of neutral stochastic functional differential equations driven by Rosenblatt process

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