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, Sergio;DE BELLIS, Iva;PIANESE, Augusto
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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11580/13513
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