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

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.