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Multifractal analysis of Power Markets. Some empirical evidence

Author

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  • Marina Resta

    (University of Genova)

Abstract

This work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries. Starting from the intermittent nature of typical price fluctuations in many power markets, we will provide evidence that working into a stochastic multifractal analysis framework can be of help to asses typical features of day–ahead market prices.

Suggested Citation

  • Marina Resta, 2004. "Multifractal analysis of Power Markets. Some empirical evidence," Econometrics 0410002, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0410002
    Note: Type of Document - pdf; pages: 11
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0410/0410002.pdf
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    References listed on IDEAS

    as
    1. Di Matteo, T. & Aste, T. & Dacorogna, M.M., 2003. "Scaling behaviors in differently developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 183-188.
    2. Ingve Simonsen, 2001. "Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets," Papers cond-mat/0108033, arXiv.org, revised Apr 2003.
    3. Mihaela Manoliu & Stathis Tompaidis, 2002. "Energy futures prices: term structure models with Kalman filter estimation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 21-43.
    4. Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
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    Cited by:

    1. Mihaela Curea & Marilena Mironiuc & Maria Carmen Huian, 2022. "Intangibles, Firm Performance, and CEO Characteristics: Spotlight on the EU Electricity and Gas Industry," Sustainability, MDPI, vol. 14(15), pages 1-17, July.

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    More about this item

    Keywords

    Multifractals; Hurst Coefficient; Power Markets;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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