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Modeling electricity spot prices using mean-reverting multifractal processes

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  • Martin Rypdal
  • Ola L{o}vsletten
Abstract
We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the anti-correlations are modeled in the same way as in an Ornstein-Uhlenbeck process, i.e. via a drift (damping) term, and in the second model the anti-correlations are included by letting the innovations in the MRW model be fractional Gaussian noise with H

Suggested Citation

  • Martin Rypdal & Ola L{o}vsletten, 2012. "Modeling electricity spot prices using mean-reverting multifractal processes," Papers 1201.6137, arXiv.org.
    • Handle: RePEc:arx:papers:1201.6137
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    References listed on IDEAS

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    Cited by:

    1. Rypdal, Martin & Sirnes, Espen & Løvsletten, Ola & Rypdal, Kristoffer, 2013. "Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3335-3343.

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