Measuring long-range dependence in electricity prices

Simple item page
dc.creatorWeron, Rafal
dc.date2001-03-30
dc.date.accessioned2026-07-07T12:06:33Z
dc.date.available2026-07-07T12:06:33Z
dc.descriptionThe 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.
dc.description7 pages, 2 figures. To appear in "Empirical Science of Financial Fluctuations", Tokyo, Nov. 2000 (Springer Verlag 2001)
dc.identifierhttps://arxiv.org/abs/cond-mat/0103621
dc.identifierhttp://arxiv.org/abs/cond-mat/0103621
dc.identifierin H. Takayasu ed., "Empirical Science of Financial Fluctuations" (Springer-Verlag Tokyo, 2002), pp. 110-119
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208687
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleMeasuring long-range dependence in electricity prices
dc.typetext

Files

Collections

arXiv