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MANMADE

MANMADE, Diagnosing vulnerability, emergent phenomena, and Volatility in Manmade Networks

Scientific Publications

Time Series Analysis and Long Range Correlations of Nordic Spot Electricity Market Data

Principal Author: Erzgraber H
Co-authors :Strozzi F, Zaldivar Comenges J, Touchette H, Gutierrez Tenreiro E, Arrowsmith D
Reference :PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 387; 2008. p. 6567-6574.

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.