dorsal/arxiv
View SchemaEntropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
| Authors | Josep Perello, Miquel Montero, Luigi Palatella, Ingve Simonsen, Jaume Masoliver |
|---|---|
| Categories | |
| ArXiv ID | physics/0609066 |
| URL | https://arxiv.org/abs/physics/0609066 |
| DOI | 10.1088/1742-5468/2006/11/P11011 |
| Journal | Journal of Statistical Mechanics: Theory and Experiment (2006) P11011 |
Abstract
The electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of other speculative (commodity) markets like, for instance, data clustering and mean reversion. We apply the diffusion entropy analysis (DEA) to the Nordic spot electricity market (Nord Pool). We study the waiting time statistics between consecutive spot price spikes and find it to show anomalous scaling characterized by a decaying power-law. The exponent observed in data follows a quite robust relationship with the one implied by the DEA analysis. We also in terms of the DEA revisit topics like clustering, mean-reversion and periodicities. We finally propose a GARCH inspired model but for the price itself. Models in the context of stochastic volatility processes appear under this scope to have a feasible description.
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"abstract": "The electricity market is a very peculiar market due to the large variety of\nphenomena that can affect the spot price. However, this market still shows many\ntypical features of other speculative (commodity) markets like, for instance,\ndata clustering and mean reversion. We apply the diffusion entropy analysis\n(DEA) to the Nordic spot electricity market (Nord Pool). We study the waiting\ntime statistics between consecutive spot price spikes and find it to show\nanomalous scaling characterized by a decaying power-law. The exponent observed\nin data follows a quite robust relationship with the one implied by the DEA\nanalysis. We also in terms of the DEA revisit topics like clustering,\nmean-reversion and periodicities. We finally propose a GARCH inspired model but\nfor the price itself. Models in the context of stochastic volatility processes\nappear under this scope to have a feasible description.",
"arxiv_id": "physics/0609066",
"authors": [
"Josep Perello",
"Miquel Montero",
"Luigi Palatella",
"Ingve Simonsen",
"Jaume Masoliver"
],
"categories": [
"physics.soc-ph",
"physics.data-an",
"q-fin.ST"
],
"doi": "10.1088/1742-5468/2006/11/P11011",
"journal_ref": "Journal of Statistical Mechanics: Theory and Experiment (2006)\n P11011",
"title": "Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion",
"url": "https://arxiv.org/abs/physics/0609066"
},
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