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Time series analysis and long range correlations of Nordic spot electricity market data
Journal article   Peer reviewed

Time series analysis and long range correlations of Nordic spot electricity market data

Hartmut Erzgraber, Fernanda Strozzi, José Manuel Zaldívar, Hugo Touchette, Eugenio Gutierrez and David K. Arrowsmith
Physica A, Vol.387(26, November 2008), pp.6567-6574
2008
Scopus ID: 2-s2.0-52949092282
DOI: https://doi.org/10.1016/j.physa.2008.07.030
Web of Science ID: WOS:000260736300015

Abstract

Hurst exponent Nonlinear time series analysis Long range correlations
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.
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