Abstract
In this work we have analysed correlations between electricity price, total consumption and disturbances using the data of the Nordic electricity market, that is monthly spot prices, disturbances and consumption from the beginning of January 2000 until the end of December 2006. The preliminary data treatment included the elimination of trends by applying the difference operator and subtracting the regression line. In addition we considered the volatilities of price, disturbances and total consumption. Addressed questions were: are monthly spot prices correlated with disturbances? Can we increase the correlation by shifting the time series and can we use the evolution of one time series to anticipate the behaviour of the other? Can we detect at least some windows of correlation? The main conclusion of this work is that there is correlation between disturbances and prices: by using the Cross Correlation function we found a strong correlation between the volatility of disturbances and de-trended prices or the volatility of prices, but only on windows of six or twelve months – that is, elevated price volatility precedes elevated disturbance volatility. To analyse the information on a shorter period, we have also applied Cross Recurrence Plot (CRP) analysis.