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Anti-correlation and multifractal features of spain electricity spot market

Norouzzadeh, P ; Sharif University of Technology | 2007

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  1. Type of Document: Article
  2. DOI: 10.1016/j.physa.2007.02.087
  3. Publisher: 2007
  4. Abstract:
  5. We use multifractal detrended fluctuation analysis (MF-DFA) to numerically investigate correlation, persistence, multifractal properties and scaling behavior of the hourly spot prices for the Spain electricity exchange-Compania O Peradora del Mercado de Electricidad (OMEL). Through multifractal analysis, fluctuations behavior, the scaling exponents and generalized Hurst exponents are studied. Moreover, contribution of fat-tailed probability distributions and nonlinear temporal correlations to multifractality is studied. © 2007 Elsevier B.V. All rights reserved
  6. Keywords:
  7. Correlation methods ; Cost accounting ; Fractals ; Marketing ; Probability distributions ; Spain ; Multifractal detrended fluctuation analysis (MF-DFA) ; Nonlinear temporal correlations ; Scaling exponents ; Electricity
  8. Source: Physica A: Statistical Mechanics and its Applications ; Volume 380, Issue 1-2 , 2007 , Pages 333-342 ; 03784371 (ISSN)
  9. URL: https://www.sciencedirect.com/science/article/abs/pii/S0378437107002154