Hurst analysis of electricity price dynamics

Authors
Weron, R Przybylowicz, B
Citation
R. Weron et B. Przybylowicz, Hurst analysis of electricity price dynamics, PHYSICA A, 283(3-4), 2000, pp. 462-468
Citations number
14
Categorie Soggetti
Physics
Journal title
PHYSICA A
ISSN journal
03784371 → ACNP
Volume
283
Issue
3-4
Year of publication
2000
Pages
462 - 468
Database
ISI
SICI code
0378-4371(20000815)283:3-4<462:HAOEPD>2.0.ZU;2-F
Abstract
The price of electricity is extremely volatile, because electric power cann ot be economically stored, end user demand is largely weather dependent, an d the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this featu re of electricity returns by means of Hurst R/S analysis. (C) 2000 Elsevier Science B.V. All rights reserved.