Afanasyev, Dmitriy and Fedorova, Elena and Popov, Viktor (2015): Fine structure of the pricedemand relationship in the electricity market: multiscale correlation analysis. Published in: Energy Economics , Vol. 51, (September 2015): pp. 215226.
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Abstract
In this research we investigate the problems of dynamic relationship between electricity price and demand over different time scales for two largest price zones of the Russian wholesale electricity market. We use multiscale correlation analysis based on a modified method of timedependent intrinsic correlation and the complete ensemble empirical mode decomposition with adaptive noise for this purpose. Three hypotheses on the type and strength of correlations in the short, medium and longruns were tested. It is shown that price zones significantly differ in internal price–demand correlation structure over the comparable time scales, and not each of the theoretically formulated hypotheses is true for each of them. We can 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 > C0  General > C02  Mathematical Methods C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C65  Miscellaneous Mathematical Tools L  Industrial Organization > L1  Market Structure, Firm Strategy, and Market Performance > L11  Production, Pricing, and Market Structure ; Size Distribution of Firms L  Industrial Organization > L9  Industry Studies: Transportation and Utilities > L94  Electric Utilities 
Item ID:  66138 
Depositing User:  Mr. Dmitriy Afanasyev 
Date Deposited:  18 Aug 2015 05:34 
Last Modified:  28 Sep 2019 20:31 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/66138 
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Fine structure of the pricedemand relationship in the electricity market: multiscale correlation analysis. (deposited 25 Sep 2014 18:27)
 Fine structure of the pricedemand relationship in the electricity market: multiscale correlation analysis. (deposited 18 Aug 2015 05:34) [Currently Displayed]