Effectiveness of Electricity Derivatives Market Based on Hurst Exponent
The Rescaled Range Analysis method (R/S Analysis method) is applied to analyze the PJM electricity derivatives market through calculating V statistics and Hurst Exponent of three types of products. The study finds that there is no obvious average cycle in the PJM electricity derivatives market. The...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
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| Series: | E3S Web of Conferences |
| Online Access: | https://www.e3s-conferences.org/articles/e3sconf/pdf/2019/44/e3sconf_icaeer18_02061.pdf |