Measuring volatility in the Nordic spot electricity market using Recurrence Quantification Analysis

The European Physical Journal Special Topics volume 164, pages 105–115 (2008)Cite this article

Abstract

In this work, we have applied Recurrence Quantification Analysis (RQA)to data sets taken from the Nordic spot electricity market. Our main interest was in trying to correlate their volatility with variables obtained from the quantification of recurrence plots (RP). For this reason we have based our analysis on known historical events: the evolution of the Nord Pool market and climatic factors, i.e. dry and wet years, and we have compared several dispersion measures with RQA measures in correspondence of these events. The analysis suggests that two RQA measures: DET and LAM can be used as a measure of the inverse of the volatility. The main advantage of using DET and LAM is that these measures provide also information about the underlying dynamics. This fact is shown using shuffled and linear Gaussian surrogates of the real time series.

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Affiliations

  1. Università Carlo Cattaneo, Castellanza, Italy

    F. Strozzi, C. Noè, T. Rossi & M. Serati

  2. Joint Research Centre, European Commission, Ispra, Italy

    E. Gutiérrez & J.M. Zaldívar

Authors
  1. F. Strozzi
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  2. E. Gutiérrez
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  3. C. Noè
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  4. T. Rossi
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  5. M. Serati
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  6. J.M. Zaldívar
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Correspondence to F. Strozzi.

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Strozzi, F., Gutiérrez, E., Noè, C. et al. Measuring volatility in the Nordic spot electricity market using Recurrence Quantification Analysis. Eur. Phys. J. Spec. Top. 164, 105–115 (2008). https://doi.org/10.1140/epjst/e2008-00837-1

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Keywords

  • Volatility
  • European Physical Journal Special Topic
  • Electricity Price
  • Dispersion Measure
  • Original Time Series