Measuring long-range dependence in electricity prices

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The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. 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, Detrended Fluctuation Analysis and periodogram regression.
7 pages, 2 figures. To appear in "Empirical Science of Financial Fluctuations", Tokyo, Nov. 2000 (Springer Verlag 2001)

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Statistical Mechanics, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208687

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0103621
 http://arxiv.org/abs/cond-mat/0103621
 in H. Takayasu ed., "Empirical Science of Financial Fluctuations" (Springer-Verlag Tokyo, 2002), pp. 110-119

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arXiv