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• W2078496883 abstract "In the last years, many electricity markets were subjected to deregulated operation where prices are set by the action of market participants. In this form, producers and consumers rely on demand and price forecasts to decide their bidding strategies, allocate assets, negotiate bilateral contracts, hedge risks, and plan facility investments. A basic feature of efficient market hypothesis is the absence of correlations between price increments over any time scale leading to random walk-type behavior of prices, so arbitrage is not possible. However, recent studies have suggested that this is not the case and correlations are present in the behavior of diverse electricity markets. In this paper, a temporal quantification of electricity market correlations is made by means of detrended fluctuation and Allan analyses. The approach is applied to two Canadian electricity markets, Ontario and Alberta. The results show the existence of correlations in both demand and prices, exhibiting complex time-dependent behavior with lower correlations in winter while higher in summer. Relatively steady annual cycles in demand but unstable cycles in prices are detected. On the other hand, the more significant nonlinear effects (measured in terms of a multifractality index) are found for winter months, while the converse behavior is displayed during the summer period. In terms of forecasting models, our results suggest that nonlinear recursive models (e.g., feedback NNs) should be used for accurate day-ahead price estimation. In contrast, linear models can suffice for demand forecasting purposes." @default.
• W2078496883 created "2016-06-24" @default.
• W2078496883 creator A5051343421 @default.
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• W2078496883 date "2010-03-01" @default.
• W2078496883 modified "2023-10-18" @default.
• W2078496883 title "Time-dependent correlations in electricity markets" @default.
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• W2078496883 doi "https://doi.org/10.1016/j.eneco.2009.05.008" @default.
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