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Time series analysis and long range correlations of Nordic spot electricity market data |
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| Authors: | Hartmut Erzgräber Fernanda Strozzi Hugo Touchette David K Arrowsmith |
| Institution: | a School of Mathematical Sciences, Queen Mary / University of London, Mile End Road, London E1 4NS, UK b Quantitative Methods Institute, LIUC-Università Cattaneo, Corso Matteotti 22, 21053 Castellanza (VA), Italy c European Commission, Joint Research Centre, Via E. Fermi 1, 21020 Ispra (VA), Italy |
| 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. |
| Keywords: | 05 45 Tp 05 40 Jc |
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