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2014 | OriginalPaper | Chapter

Analyses of the Chaotic Behavior of the Electricity Price Series

Authors : Radko Kříž, Štěpán Kratochvíl

Published in: ISCS 2013: Interdisciplinary Symposium on Complex Systems

Publisher: Springer Berlin Heidelberg

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Abstract

Electricity price is by its features like mean-reversion, high volatility rate and frequent occurrence of jumps different from other commodities. These differences are mainly caused by non-storability of the electricity, which need to balance supply and demand in real time. Due to these features, electricity price behavior seems somewhat chaotic. In this chapter we will introduce methods for investigating whether or not electricity spot prices can be described by usual time series, stochastic models. For this reason we will estimate the largest Lyapunov exponent and the 0–1 test for chaos. We will do a case study on the EPEX Phelix spot index.

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Title: Analyses of the Chaotic Behavior of the Electricity Price Series
Authors: Radko Kříž
Štěpán Kratochvíl
Publisher: Springer Berlin Heidelberg
Book: ISCS 2013: Interdisciplinary Symposium on Complex Systems
Print ISBN: 978-3-642-45437-0

Electronic ISBN: 978-3-642-45438-7

Copyright Year: 2014
DOI: https://doi.org/10.1007/978-3-642-45438-7_21

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