Hurst analysis of electricity price dynamics

The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis.

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Year of publication:	2000
Authors:	Weron, Rafal ; Przybyłowicz, Beata
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 283.2000, 3, p. 462-468
Publisher:	Elsevier
Subject:	Econophysics \| Electricity price \| Mean-reversion \| Hurst analysis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011063458