http://www.cnr.it/ontology/cnr/individuo/prodotto/ID279462
Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion (Articolo in rivista)
- Type
- Label
- Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion (Articolo in rivista) (literal)
- Anno
- 2006-01-01T00:00:00+01:00 (literal)
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
- 10.1088/1742-5468/2006/11/P11011 (literal)
- Alternative label
J. Perelló (1); M. Montero (1); L. Palatella (2); I. Simonsen (3,4); J. Masoliver (1) (2006)
Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
in Journal of statistical mechanics
(literal)
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
- J. Perelló (1); M. Montero (1); L. Palatella (2); I. Simonsen (3,4); J. Masoliver (1) (literal)
- Pagina inizio
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#url
- http://iopscience.iop.org/1742-5468/2006/11/P11011/ (literal)
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
- Rivista
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
- Note
- ISI Web of Science (WOS) (literal)
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
- (1) Departament de Física Fonamental, Universitat de Barcelona, Diagonal, 647, 08028 Barcelona, Spain
(2) Instituto dei Sistemi Complessi del CNR-Dipartimento di Fisica dell'Università di Roma 'La Sapienza', P.le A. Moro 2, 00185 Roma, Italy
(3) Department of Physics, Norwegian University of Science and Technology (NTNU), NO-7491 Trondheim, Norway
(4) Present address: Institute for Traffic and Economics, Dresden University of Technology, D-01086 Dresden, Germany (literal)
- Titolo
- Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion (literal)
- Abstract
- The electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of other speculative (commodity) markets like, for instance, data clustering and mean reversion. We apply the diffusion entropy analysis (DEA) to the Nordic spot electricity market (Nord Pool). We study the waiting time statistics between consecutive spot price spikes and find it to show anomalous scaling characterized by a decaying power law. The exponent observed in data follows a quite robust relationship with the one implied by the DEA analysis. In terms of the DEA we also revisit topics like clustering, mean-reversion and periodicities. We finally propose a GARCH inspired model but for the price itself. Models in the context of stochastic volatility processes appear under this scope to have a feasible description. (literal)
- Prodotto di
- Autore CNR
Incoming links:
- Autore CNR di
- Prodotto
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#rivistaDi