Measuring anti-correlations in the nordic electricity spot market by wavelets. (English) Zbl 1017.91026
Summary: 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 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 data set, the classic R/S- and Fourier techniques, for which scaling regimes and/or positions of cross-overs are hard to define.
MSC:
| 91B26 | Auctions, bargaining, bidding and selling, and other market models |
| 91B70 | Stochastic models in economics |
| 60G50 | Sums of independent random variables; random walks |
Software:
wmtsaReferences:
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