Time series analysis and long range correlations of Nordic spot electricity market data

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 26, 2008, Pages 6567-6574

  Erzgräber, Hartmut ^a   Strozzi, Fernanda ^b   Zaldívar, José Manuel ^c   Touchette, Hugo ^a   Gutiérrez, Eugénio ^c   Arrowsmith, David K ^a  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^b CREMS Centre for Research on Health Economics Social and Health Care Management Carlo Cattaneo University LIUC   (Italy)

^c JOINT RESEARCH CENTRE   (Italy)

Author keywords

Hurst exponent; Long range correlations; Nonlinear time series analysis

Indexed keywords

FINANCIAL DATA PROCESSING; HARMONIC ANALYSIS; POWER MARKETS;

DIFFERENT TIME SCALE; ELECTRICITY SYSTEM; FINANCIAL TIME SERIES; HURST EXPONENTS; LONG RANGE CORRELATIONS; NONLINEAR TIME-SERIES ANALYSIS; SCALING PARAMETER; SPOT ELECTRICITY MARKET;

TIME SERIES ANALYSIS;

EID: 52949092282     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.07.030     Document Type: Article

References (42)

1. Mantegna R.N., and Stanley H.E. An Introduction to Econophysics (2000), Cambridge Univ. Press
2. Johnson N.F., Jefferies P., and Ming Hui P. Financial Market Complexity (2003), Oxford Univ. Press
3. Osborne M.F.M. Brownian motion in the stock market. Oper. Res. 7 (1959) 145
4. Malkiel B. A Random Walk Down Wall Street (1990), Norton, New York
5. Mandelbrot B.B. Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998), Springer, New York
6. Brock W.A., Hsieh D.A., and LeBaron B. Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence (1991), MIT Press, Massachusetts, MA
7. Hsieh D.A. Chaos and nonlinear dynamics: Application to financial markets. J. Finance 46 (1991) 1839
8. Lorenz H.W. Nonlinear Dynamical Economics and Chaotic Motion (1993), Springer, New York
9. Peters E.E. Chaos and Order in the Capital Markets: A New View of Cycles, Prices and Volatility. 2nd edition (1996), Wiley, New York
10. Mantega R.N., and Stanley H.E. Scaling behaviour in the dynamics of an economic index. Nature 376 (1995) 46
11. Mantegna R.N., and Stanley H.E. Turbulence and financial markets. Nature 383 (1996) 587
12. Bak P., and Chen K. Self-organized criticality. Sci. Amer. 264 (1991) 26
13. Shlesinger M.F., Zaslavsky G.M., and Klafter J. Strange kinetics. Nature 363 (1993) 31
14. Scheinkman J., and LeBaron B. Nonlinear dynamics and stock returns. J. Business 62 (1989) 311
15. Papaioannou G., and Karytinos A. Nonlinear time series analysis of the stock exchange: The case of an emerging market. Internat. J. Bifue. Chaos 5 (1995) 1557
16. Andreadis I. Self-criticality and stochasticity of an S&P 500 index time series. Chaos, Solitons Fractals 11 (2000) 1047
17. Friederich R., Peinke J., and Renner C. How to quantify deterministic and random influences on the statistics of the foreign exchange market. Phys. Rev. Lett. 84 (2000) 5224
18. Soofi A.S., and Cao L. Modelling and Forecasting Financial Data: Techniques of Nonlinear Dynamics (2002), Kluwer Academic Publishers, Norwell
19. Weron R., and Przybylowicz B. Hurst analysis of electricity price dynamics. Physica A 283 (2000) 462
20. Simonsen I. Measuring anti-correlations in the Nordic electricity spot market by wavelets. Physica A 322 (2003) 597
21. Byström H.N.E. Extreme value theory and extremely large electricity price changes. Int. Rev. Econ. Finance 14 (2005) 41
22. Perelló J., Montero M., Palatella L., Simonsen I., and Masoliver J. Entropy of the Nordic electricity market: Anomalous scaling, spikes, and mean-reversion. J. Stat. Mech. 2006 (2006) P11011
23. Weron R., Bierbrauer M., and Truck S. Modelling electricity prices: Jump diffusion and regime switching. Physica A 336 (2004) 39
24. Vehviläinen I., and Pyykkönen T. Stochastic factor model for electricity spot price-the case of the Nordic market. Energy Econom. 27 (2005) 351
25. Simonsen I. Volatility of power markets. Physica A 355 (2005) 10
26. Weron R. Energy price risk management. Physica A 285 (2000) 127
27. Norouzzadeh P., Dullaert W., and Rahmani B. Anti-correlation and multifractal features of Spain electricity spot market. Physica A 380 (2007) 333
28. Serletis A., and Rosenberg A.A. The Hurst exponent in energy futures prices. Physica A 380 (2007) 325
29. Nolan J.P. Numerical computation of stable densities and distribution functions. Comm. Stat. Stoch. Mod. 13 (1997) 759
30. Radons G. Anomalous transport in disordered dynamical systems. Physica D 187 (2004) 3
31. Strozzi F., Zaldívar J.M., and Zbilut J.P. Application of nonlinear time series analysis techniques to high frequency currency exchange data. Physica A 312 (2002) 520
32. Provenzale A., Smith L.A., Vio R., and Murante G. Distinguishing between low-dimensional dynamics and randomness in measured time series. Physica D 58 (1992) 31
33. Hegger R., Kantz H., and Schreiber T. Practical implementation of nonlinear time series methods: The TISEAN package. Chaos 9 (1999) 413
34. Gneiting T., and Schlather M. Stochastic models that separate fractal dimension and the Hurst effect. SIAM Rev. 46 (2004) 269
35. Hurst H.E. Long-term storage capacity of reservoirs. Trans. Am. Soc. Civ. Eng. 116 (1951) 770
36. Mandelbrot B.B. The Fractal Geometry of Nature (1983), W. H. Freeman, New York
37. Alessio E., Carbone A., Castelli G., and Frappietro V. Second-order moving average and scaling of stochastic time series. Eur. Phys. J. B 27 (2002) 197
38. Carbone A., Castelli G., and Stanley H. Time-dependent Hurst exponent in financial time series. Physica A 344 (2004) 267
39. Peng C.-K., Buldyrev S.V., Havlin S., Simons M., Stanley H.E., and Goldberger A.L. Mosaic organization of dna nucleotides. Phys. Rev. E 49 (1994) 1685
40. Bunde A., Havlin S., Kantelhardt J.W., Penzel T., Peter J.-H., and Voigt K. Correlated and uncorrelated regions in heart-rate fluctuations during sleep. Phys. Rev. Lett. 85 (2000) 3736
41. Cannon M.J., Percival D.B., Caccia D.C., Raymond G.M., and Bassingthwaighte J.B. Evaluating scaled windowed variance methods for estimating the Hurst coefficient of time series. Physica A 241 (1997) 606
42. Kantelhardt J.W., Zschiegner S.A., Koscielny-Bunde E., Havlin S., Bunde A., and Stanley H.E. Multifractal detrended fluctuation analysis of nonstationary time series. Physica A 316 (2000) 87