Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets
| dc.creator | Simonsen, Ingve | |
| dc.date | 2001-08-02 | |
| dc.date | 2003-04-25 | |
| dc.date.accessioned | 2026-07-07T12:06:36Z | |
| dc.date.available | 2026-07-07T12:06:36Z | |
| dc.description | We consider the Nordic electricity spot market from mid 1992 to the end of year 2000. This market is found to be well approximated by an anti-persistent self-affine (mean-reverting) walk. It is characterized by a Hurst exponent of $H\simeq 0.41$ over three orders of magnitude in time ranging from days to years. We argue that in order to see such a good scaling behavior, and to locate cross-overs, it is crucial that an analyzing technique is used that {\em decouples} scales. This is in our case achieved by utilizing a (multi-scale) wavelet approach. The shortcomings of methods that do not decouple scales are illustrated by applying, to the same dat a set, the classic $R/S$- and Fourier techniques, for which scaling regimes and/or positions of cross-overs are hard to define. | |
| dc.description | Latex, 11 pages including 4 figures. To appear Physica A | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0108033 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0108033 | |
| dc.identifier | Physica A 322, 597 (2003). | |
| dc.identifier | doi:10.1016/S0378-4371(02)01938-6 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208699 | |
| dc.subject | Disordered Systems and Neural Networks | |
| dc.subject | Statistical Finance | |
| dc.title | Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets | |
| dc.type | text |