Title: Fractal properties of some European electricity markets

Authors: Sergio Bianchi, Iva De Bellis, Augusto Pianese

Addresses: DIMET and LISA, Faculty of Economics, University of Cassino, Campus Folcara, Via S. Angelo, 03043 Cassino, Italy. ' DIMET and LISA, Faculty of Economics, University of Cassino, Campus Folcara, Via S. Angelo, 03043 Cassino, Italy. ' DIMET and LISA, Faculty of Economics, University of Cassino, Campus Folcara, Via S. Angelo, 03043 Cassino, Italy

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.

Keywords: electricity markets; multifractional Brownian motion; Otto Holder; pointwise Holder exponents; multifractal models; asset returns; MMAR; Italy; Germany; Nord Pool; Norway; Denmark; Sweden; Finland; Europe; Robert Brown; Chase Bauduin; fractal properties; electric spot prices; stock markets; multifractality; financial markets; applied financial economics.

DOI: 10.1504/IJFMD.2010.035766

International Journal of Financial Markets and Derivatives, 2010 Vol.1 No.4, pp.395 - 421

Published online: 03 Oct 2010 *

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