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- Title
A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework.
- Authors
Inglada-Pérez, Lucía; Gil, Sandra González y
- Abstract
The existence of chaos is particularly relevant, as the identification of a chaotic behavior in a time series could lead to reliable short-term forecasting. This paper evaluates the existence of nonlinearity and chaos in the underlying process of the spot prices of the Spanish electricity market. To this end, we used daily data spanning from 1 January 2013, to 31 March 2021 and we applied a comprehensive framework that encompassed a wide range of techniques. Nonlinearity was analyzed using the BDS method, while the existence of a chaotic structure was studied through Lyapunov exponents, recurrence plots, and quantitative recurrence analysis. While nonlinearity was detected in the underlying process, conclusive evidence supporting chaos was not found. In addition, the generalized autoregressive conditional heteroscedastic (GARCH) model accounts for part of the nonlinear structure that is unveiled in the electricity market. These findings hold substantial value for electricity market forecasters, traders, producers, and market regulators.
- Subjects
ELECTRICITY markets; ELECTRIC power consumption; LYAPUNOV exponents; SPOT prices; ELECTRICITY pricing
- Publication
Mathematics (2227-7390), 2024, Vol 12, Issue 6, p893
- ISSN
2227-7390
- Publication type
Article
- DOI
10.3390/math12060893