Effectiveness of Electricity Derivatives Market Based on Hurst Exponent

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...

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Main Authors: Fei Yunzhi, Shao Xufang, Wang Gang, Zhou Li, Xia Xue, He Yongxiu
Format: Article
Language:English
Published: EDP Sciences 2019-01-01
Series:E3S Web of Conferences
Online Access:https://www.e3s-conferences.org/articles/e3sconf/pdf/2019/44/e3sconf_icaeer18_02061.pdf
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spelling doaj-a37ad61425fb4b01a12f3ae07bc814fd2021-03-02T11:00:58ZengEDP SciencesE3S Web of Conferences2267-12422019-01-011180206110.1051/e3sconf/201911802061e3sconf_icaeer18_02061Effectiveness of Electricity Derivatives Market Based on Hurst ExponentFei Yunzhi0Shao Xufang1Wang Gang2Zhou Li3Xia Xue4He Yongxiu5School of Economics and Management, North China Electric Power UniversityState Grid Energy Research Institute CO., LtdState Grid Energy Research Institute CO., LtdSchool of Economics and Management, North China Electric Power UniversitySchool of Economics and Management, North China Electric Power UniversitySchool of Economics and Management, North China Electric Power UniversityThe 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.https://www.e3s-conferences.org/articles/e3sconf/pdf/2019/44/e3sconf_icaeer18_02061.pdf
collection DOAJ
language English
format Article
sources DOAJ
author Fei Yunzhi
Shao Xufang
Wang Gang
Zhou Li
Xia Xue
He Yongxiu
spellingShingle Fei Yunzhi
Shao Xufang
Wang Gang
Zhou Li
Xia Xue
He Yongxiu
Effectiveness of Electricity Derivatives Market Based on Hurst Exponent
E3S Web of Conferences
author_facet Fei Yunzhi
Shao Xufang
Wang Gang
Zhou Li
Xia Xue
He Yongxiu
author_sort Fei Yunzhi
title Effectiveness of Electricity Derivatives Market Based on Hurst Exponent
title_short Effectiveness of Electricity Derivatives Market Based on Hurst Exponent
title_full Effectiveness of Electricity Derivatives Market Based on Hurst Exponent
title_fullStr Effectiveness of Electricity Derivatives Market Based on Hurst Exponent
title_full_unstemmed Effectiveness of Electricity Derivatives Market Based on Hurst Exponent
title_sort effectiveness of electricity derivatives market based on hurst exponent
publisher EDP Sciences
series E3S Web of Conferences
issn 2267-1242
publishDate 2019-01-01
description 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.
url https://www.e3s-conferences.org/articles/e3sconf/pdf/2019/44/e3sconf_icaeer18_02061.pdf
work_keys_str_mv AT feiyunzhi effectivenessofelectricityderivativesmarketbasedonhurstexponent
AT shaoxufang effectivenessofelectricityderivativesmarketbasedonhurstexponent
AT wanggang effectivenessofelectricityderivativesmarketbasedonhurstexponent
AT zhouli effectivenessofelectricityderivativesmarketbasedonhurstexponent
AT xiaxue effectivenessofelectricityderivativesmarketbasedonhurstexponent
AT heyongxiu effectivenessofelectricityderivativesmarketbasedonhurstexponent
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