Fractal feature analysis of on-grid price and demonstration research based on the market environment

Author

Hai-yang, Jiang ; Zhong-fu, Tan ; Mian-bin, Wang

Author_Institution

Inst. of Electr. Econ., North China Electr. Power Univ., Beijing

fYear

2008

fDate

6-9 April 2008

Firstpage

386

Lastpage

389

Abstract

Based on the time series of on-grid price data in PJM power market, this paper analyses the fractal features in different time scales by using the rescaled range analysis(R/S analysis). By computing Hurst exponent, we present the long-term memory of the on-grid price in PJM. Using V-statistic to analyze the long memorial mechanism of on-grid price systems, and using t-statistic to carry through a significant test. The research can provide a new pattern to describe electricity prices´ distribution in power market.

Keywords

power distribution economics; power grids; power markets; pricing; statistical analysis; time series; Hurst exponent; V-statistic; electricity price distribution; fractal feature analysis; market environment; memorial mechanism; ongrid price data; power market; time series; Chaos; Economic forecasting; Electronic mail; Environmental economics; Fluctuations; Fractals; Power generation; Power generation economics; Power markets; Time series analysis; Fractal features; On-grid price; urst exponent R/S analysis;

fLanguage

English

Publisher

ieee

Conference_Titel

Electric Utility Deregulation and Restructuring and Power Technologies, 2008. DRPT 2008. Third International Conference on

Conference_Location

Nanjuing

Print_ISBN

978-7-900714-13-8

Electronic_ISBN

978-7-900714-13-8

Type

conf

DOI

10.1109/DRPT.2008.4523437

Filename

4523437