This paper investigates the fractal behaviour of the electric spot prices traded in some European markets. Whereas the analysis leads to exclude the presence of multifractality, we provide evidence supporting the conclusion that the multifractional Brownian motion can represent a good candidate to model the dynamics of electricity prices.
Fractal properties of some European electricity markets / Bianchi, S.; I, DE BELLIS; A, Pianese. - In: INTERNATIONAL JOURNAL OF FINANCIAL MARKETS AND DERIVATIVES. - ISSN 1756-7130. - 1:4(2010), pp. 395-421. [10.1504/IJFMD.2010.035766]
Fractal properties of some European electricity markets
S. BIANCHI;
2010
Abstract
This paper investigates the fractal behaviour of the electric spot prices traded in some European markets. Whereas the analysis leads to exclude the presence of multifractality, we provide evidence supporting the conclusion that the multifractional Brownian motion can represent a good candidate to model the dynamics of electricity prices.File allegati a questo prodotto
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