Measuring long-range dependence in electricity prices
Statistical Mechanics
2008-12-02 v1 Statistical Finance
Abstract
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis, Detrended Fluctuation Analysis and periodogram regression.
Keywords
Cite
@article{arxiv.cond-mat/0103621,
title = {Measuring long-range dependence in electricity prices},
author = {Rafal Weron},
journal= {arXiv preprint arXiv:cond-mat/0103621},
year = {2008}
}
Comments
7 pages, 2 figures. To appear in "Empirical Science of Financial Fluctuations", Tokyo, Nov. 2000 (Springer Verlag 2001)