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Multifractal Detrended Cross-correlation Analysis of Market Clearing Price of electricity and SENSEX in India

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  • Ghosh, Dipak
  • Dutta, Srimonti
  • Chakraborty, Sayantan

Abstract

This paper reports a study on the cross-correlation between the electric bid price and SENSEX using Multifractal Detrended Cross-correlation Analysis (MF-DXA). MF-DXA is a very rigorous and robust technique for assessment of cross-correction between two non-linear time series. The study reveals power law cross-correlation between Market Clearing Price (MCP) and SENSEX which suggests that a change in the value of one can create a subjective change in the value of the other.

Suggested Citation

  • Ghosh, Dipak & Dutta, Srimonti & Chakraborty, Sayantan, 2015. "Multifractal Detrended Cross-correlation Analysis of Market Clearing Price of electricity and SENSEX in India," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 52-59.
    • Handle: RePEc:eee:phsmap:v:434:y:2015:i:c:p:52-59
    DOI: 10.1016/j.physa.2015.03.082
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    References listed on IDEAS

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    1. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are developed and emerging agricultural futures markets multifractal? A comparative perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3828-3836.
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    4. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3218-3229.
    5. He, Ling-Yun & Chen, Shu-Peng, 2011. "Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 297-308.
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    Cited by:

    1. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(632), A), pages 61-80, Autumn.

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