Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion

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dc.creatorPerello, Josep
dc.creatorMontero, Miquel
dc.creatorPalatella, Luigi
dc.creatorSimonsen, Ingve
dc.creatorMasoliver, Jaume
dc.date2006-09-08
dc.date.accessioned2026-07-07T12:07:51Z
dc.date.available2026-07-07T12:07:51Z
dc.descriptionThe electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of other speculative (commodity) markets like, for instance, data clustering and mean reversion. We apply the diffusion entropy analysis (DEA) to the Nordic spot electricity market (Nord Pool). We study the waiting time statistics between consecutive spot price spikes and find it to show anomalous scaling characterized by a decaying power-law. The exponent observed in data follows a quite robust relationship with the one implied by the DEA analysis. We also in terms of the DEA revisit topics like clustering, mean-reversion and periodicities. We finally propose a GARCH inspired model but for the price itself. Models in the context of stochastic volatility processes appear under this scope to have a feasible description.
dc.description16 pages, 7 figures
dc.identifierhttps://arxiv.org/abs/physics/0609066
dc.identifierhttp://arxiv.org/abs/physics/0609066
dc.identifierJournal of Statistical Mechanics: Theory and Experiment (2006) P11011
dc.identifierdoi:10.1088/1742-5468/2006/11/P11011
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209119
dc.subjectPhysics and Society
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleEntropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
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