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Measuring anti-correlations in the nordic electricity spot market by wavelets

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  • Simonsen, Ingve

Abstract

We consider the Nordic electricity spot market from mid-1992 to the end of year 2000. This market is found to be well approximated by an anti-persistent self-affine (mean-reverting) walk. It is characterized by a Hurst exponent of H≃0.41 over three orders of magnitude in time ranging from days to years. We argue that in order to see such a good scaling behavior, and to locate cross-overs, it is crucial that an analyzing technique is used that decouples scales. This is in our case achieved by utilizing a (multi-scale) wavelet approach. The shortcomings of methods that do not decouple scales are illustrated by applying, to the same data set, the classic R/S- and Fourier techniques, for which scaling regimes and/or positions of cross-overs are hard to define.

Suggested Citation

  • Simonsen, Ingve, 2003. "Measuring anti-correlations in the nordic electricity spot market by wavelets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 597-606.
    • Handle: RePEc:eee:phsmap:v:322:y:2003:i:c:p:597-606
    DOI: 10.1016/S0378-4371(02)01938-6
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