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|Title:||Time series analysis and long range correlations of Nordic spot electricity market data|
Zaldívar, José Manuel
Arrowsmith, David K.
|Bibliographic citation:||Erzgraber Hartmut, et al. (2008), Time series analysis and long range correlations of Nordic spot electricity market data. In: Physica A, vol. 387, n. 26, November 2008, p. 6567-6574. ISSN 0378-4371. DOI 10.1016/j.physa.2008.07.030.|
|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.|
|Appears in Collections:||Contributo in rivista|
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