Simonsen, Ingve - In: Physica A: Statistical Mechanics and its Applications 322 (2003) C, pp. 597-606
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...