Journal
PHYSICA A
Volume 283, Issue 3-4, Pages 462-468Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/S0378-4371(00)00231-4
Keywords
econophysics; electricity price; mean-reversion; Hurst analysis
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The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis. (C) 2000 Elsevier Science B.V. All rights reserved.
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