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 |
| Summary: | 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 price fluctuation of various products is not a non-random walk process but has a long-term memory. It shows that the PJM electricity derivatives market is not completely effective. The study also finds that PJM electricity option market is more effective than PJM electricity futures market. |
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| ISSN: | 2267-1242 |