Anti-correlation and multifractal features of Spain electricity spot market

作者：Norouzzadeh P^*; Dullaert W; Rahmani B

来源：Physica A: Statistical Mechanics and Its Applications , 2007, 380: 333-342.

DOI：10.1016/j.physa.2007.02.087

We use multifractal detrended fluctuation analysis (MF-DFA) to numerically investigate correlation, persistence, multifractal properties and scaling behavior of the hourly spot prices for the Spain electricity exchange-Compania 0 Peradora del Mercado de Electricidad (OMEL). Through multiffactal analysis, fluctuations behavior, the scaling exponents and generalized Hurst exponents are studied. Moreover, contribution of fat-tailed probability distributions and nonlinear temporal correlations to multifractality is studied.

• 出版日期2007-7-1