Afanasyev, Dmitriy and Fedorova, Elena and Popov, Viktor (2014): Fine structure of the pricedemand relationship in the electricity market: multiscale correlation analysis.
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Abstract
The pricedemand relationship in the electricity market is a complicated phenomenon. In order to thoroughly investigate the peculiarities of this relationship, a multiscale correlation analysis of electricity price and demand is carried out in this research. Using a modified method of socalled timedependent intrinsic correlation (TDIC) (Chen et al., 2010), based on the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) (Torres et al., 2011), and bootstrapping, we investigate the problems of dynamic interconnection between electricity demand and prices over different time scales (i.e. its fine structure). We formulate and test three hypotheses on the type and strength of correlations between them in the short, medium and longruns. In this research we analyze the data from two largest price zones of Russian wholesale electricity market: EuropeUral and Siberia. These two zones differ from each other by the structures of electricity generation and consumption. It is shown that these two price zones significantly differ in internal pricedemand correlation structure over the comparable time scales, and not each of the theoretically formulated hypotheses is true for each of the price zones. This allows us to conclude that the answer to the question whether it is necessary to take into account the influence of demandside on electricity spot prices over different time scales, is significantly dependent on the structure of electricity generation and consumption on the corresponding market.
Item Type:  MPRA Paper 

Original Title:  Fine structure of the pricedemand relationship in the electricity market: multiscale correlation analysis 
English Title:  Fine structure of the pricedemand relationship in the electricity market: multiscale correlation analysis 
Language:  English 
Keywords:  electricity spot price, electricity demand, pricedemand correlation, empirical mode decomposition, timedependent intrinsic correlation, trend estimation 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C40  General C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C65  Miscellaneous Mathematical Tools L  Industrial Organization > L9  Industry Studies: Transportation and Utilities > L94  Electric Utilities 
Item ID:  58827 
Depositing User:  Mr. Dmitriy Afanasyev 
Date Deposited:  25. Sep 2014 18:27 
Last Modified:  25. Sep 2014 18:48 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/58827 
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