Corpus ID: 152744173

Multi-scaling of wholesale electricity prices

@article{Caravelli2015MultiscalingOW,
  title={Multi-scaling of wholesale electricity prices},
  author={Francesco Caravelli and James Requeima and Cozmin Ududec and Ali Ashtari and Tiziana di Matteo and Tomaso Aste},
  journal={arXiv: Statistical Finance},
  year={2015}
}
We empirically analyze the most volatile component of the electricity price time series from two North-American wholesale electricity markets. We show that these time series exhibit fluctuations which are not described by a Brownian Motion, as they show multi-scaling, high Hurst exponents and sharp price movements. We use the generalized Hurst exponent (GHE, $H(q)$) to show that although these time-series have strong cyclical components, the fluctuations exhibit persistent behaviour, i.e., $H(q… Expand

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