The stability of electricity prices : estimation and inference of the Lyapunov exponents
Bask, Mikael; Liu, Tung; Widerberg, Anna (08.03.2006)
Numero
9/2006Julkaisija
Suomen Pankki
2006
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-20140807603Tiivistelmä
The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic) dynamics.The data set used is spot electricity prices from the Nordic power exchange market.Nord Pool, and the dynamic system that generates these prices appears to be chaotic in one case.Key words: feedforward neural network, Nord Pool, Lyapunov exponents, spot electricity prices, stochastic dynamic system JEL classification numbers: C12, C14, C22
Julkaisuhuomautus
Published in Physica A, 376, 2007: 565-572