TY - JOUR
T1 - Anti-correlation and multifractal features of Spain electricity spot market
AU - Norouzzadeh, Payam
AU - Dullaert, W.
AU - Rahmani, Bahareh
PY - 2007/7/1
Y1 - 2007/7/1
N2 - 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 O Peradora del Mercado de Electricidad (OMEL). Through multifractal 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.
AB - 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 O Peradora del Mercado de Electricidad (OMEL). Through multifractal 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.
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U2 - 10.1016/j.physa.2007.02.087
DO - 10.1016/j.physa.2007.02.087
M3 - Article
AN - SCOPUS:34247873135
VL - 380
SP - 333
EP - 342
JO - Physica A. Statistical Mechanics and its Applications
JF - Physica A. Statistical Mechanics and its Applications
SN - 0378-4371
IS - 1-2
ER -