Anti-correlation and multifractal features of Spain electricity spot market

• DOI: 10.1016/j.physa.2007.02.087
• Publication Date: 2007-03-05T12:16:24Z
• Authors: P. Norouzzadeh; W. Dullaert; B. Rahmani
• Keywords: 0502 economics and business; 05 social sciences

We use multifractal detrended fluctuation analysis (MF-DFA) to numerically investigate correlation, persistence, multifractal properties and scaling behavior of the hourly spot prices for the Spain electricity exchange-Compania O Peradora del Mercado de Electricidad (OMEL). Through multifractal analysis, fluctuations behavior, the scaling exponents and generalized Hurst exponents are studied. Moreover, contribution of fat-tailed probability distributions and nonlinear temporal correlations to multifractality is studied.