Fractal properties of some European electricity markets
by Sergio Bianchi, Iva De Bellis, Augusto Pianese
International Journal of Financial Markets and Derivatives (IJFMD), Vol. 1, No. 4, 2010

Abstract: This paper investigates the fractal behaviour of the electric spot prices traded in some European markets. Whereas the analysis leads to exclude the presence of multifractality, we provide evidence supporting the conclusion that the multifractional Brownian motion can represent a good candidate to model the dynamics of electricity prices.

Online publication date: Sun, 03-Oct-2010

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