The stability of electricity prices : estimation and inference of the Lyapunov exponents

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Title: The stability of electricity prices : estimation and inference of the Lyapunov exponents
ISBN: 952-462-276-9
Author: Bask, Mikael ; Liu, Tung ; Widerberg, Anna
Organization: Suomen Pankki
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2006
Series number: 9/2006
Year of publication: 2006
Publication date: 8.3.2006
Published in: Published in Physica A, 376, 2007: 565-572
Pages: 23 s.
Keywords: energia; sähkö; hinnat; vakaus; Pohjoismaat; Suomi; Ruotsi; Tanska; Norja;
JEL: C12; C14; C22
Abstract: The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic) dynamics.The data set used is spot electricity prices from the Nordic power exchange market.Nord Pool, and the dynamic system that generates these prices appears to be chaotic in one case.Key words: feedforward neural network, Nord Pool, Lyapunov exponents, spot electricity prices, stochastic dynamic system JEL classification numbers: C12, C14, C22
Note: Ilmestynyt myös Physica A 2007.
Rights: https://helda.helsinki.fi/bof/copyright


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