Title of article
Time series analysis and long range correlations of Nordic spot electricity market data
Author/Authors
Hartmut Erzgr?ber، نويسنده , , Fernanda Strozzi، نويسنده , , Jose Manuel Zaldivar ، نويسنده , , Hugo Touchette، نويسنده , , Eugénio Gutiérrez، نويسنده , , David K. Arrowsmith، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
8
From page
6567
To page
6574
Abstract
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.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2008
Journal title
Physica A Statistical Mechanics and its Applications
Record number
872845
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