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Hurst analysis of electricity price dynamics

Author

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  • Rafal Weron
  • Beata Przybylowicz

Abstract

The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. 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.

Suggested Citation

  • Rafal Weron & Beata Przybylowicz, 2000. "Hurst analysis of electricity price dynamics," HSC Research Reports HSC/00/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    • Handle: RePEc:wuu:wpaper:hsc0001
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_00_01.pdf
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    References listed on IDEAS

    as
    1. Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
    2. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Econophysics; Electricity price; Mean-reversion; Hurst analysis;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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