Indian Electricity Market Volume and Price Crosscorrelation Analysis

Abstract

ABSTRACT We apply the multifractal detrended cross-correlation analysis method to investigate the cross-correlation and fractal behavior between the price and volume of the electricity market. For this purpose, we have collected the data from the Indian electricity energy exchange from 1st April 2012 to 1st April 2015 with time interval of 1 hour. From the analysis, we observe a cross over near the scale (~ 32) in the fluctuation function, and thus we have calculated the Hurst scaling exponents for the scale < = 32 (short term) and > 32 (long term). The cross-correlation is observed persistent in short term and anti-persistent in long term. The multifractal nature is present in both short and long term and the strength of the multifractality was measured from the calculated singularity spectrum.