期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 355, 期 1, 页码 10-20出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2005.02.062
关键词
volatility; electricity markets; deregulation; econophysics; interdisciplinary physics
Volatility features of the Nordic day ahead power spot market for a 12-year period up till May 2004 are studied. The daily logarithmic volatility was measured for this period to be about 16%. This level is well above what is observed for most other well-studied financial markets. Volatility clustering, log-normal distribution, and long-range correlations are found-to be striking features of the volatility of power markets. In addition, a cyclic behavior of the time-dependent volatility can be observed for the Nordic power market. Furthermore, the volatility shows a dependence on the price level, and this is pronounced mostly when the spot price is low. The correlation in volatility is consistent with an inverse power-law decay, tau(-nu), superposed on an oscillating term. The numerical value of the exponent v is similar to what has been reported previously for stock markets. (c) 2005 Elsevier B.V. All rights reserved.
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