Indian Electricity Market Volume and Price Crosscorrelation Analysis

dc.contributor.author	Mayukha, Pal
dc.contributor.author	Madhusudana Rao, P.
dc.contributor.author	Manimaran, P.
dc.date.accessioned	2022-03-27T11:46:47Z
dc.date.available	2022-03-27T11:46:47Z
dc.date.issued	2015-01-01
dc.description.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.
dc.identifier.citation	ARPN Journal of Engineering and Applied Sciences. v.10(9)
dc.identifier.uri	https://dspace.uohyd.ac.in/handle/1/14706
dc.subject	electricity market
dc.subject	energy
dc.subject	hurst exponent
dc.subject	multifractal detrended cross-correlation analysis
dc.subject	non-stationary time series
dc.subject	power data.
dc.title	Indian Electricity Market Volume and Price Crosscorrelation Analysis
dc.type	Journal. Article
dspace.entity.type

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