Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained from (often detrended) historic asset prices. Such a...

We consider a financial market where the asset price follows a fractional Brownian motion. A family of investment strategies are introduced, and we quantify profit possibilities for both persistent and anti-persistent markets. It is demonstrated that profit opportunities exists as long as the...

Volatility features of the Nordic day ahead power spot market for a 12-year period up till May 2004 are studied. The daily logarithmic volatility was measured for this period to be about 16%. This level is well above what is observed for most other well-studied financial markets. Volatility...

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≃0.41 over three orders of magnitude in time ranging from days...

Dramatic changes to the structure of the power sector have taken place over the past few decades. The major structural change being the introduction of competitive markets and power exchanges. In this paper, we conduct a detailed empirical study of the statistical properties of the Nordic power...