دانلود مقاله ISI انگلیسی شماره 42063
عنوان فارسی مقاله

تجزیه و تحلیل همبستگی متقابل چندفراکتالی در بازار برق

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
42063 2015 11 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Multifractal cross-correlation analysis in electricity spot market
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 429, 1 July 2015, Pages 17–27

کلمات کلیدی
تجزیه و تحلیل همبستگی متقابل چندفراکتالی - توان هرست تعمیم یافته - توان پوسته پوسته شدن
پیش نمایش مقاله
پیش نمایش مقاله تجزیه و تحلیل همبستگی متقابل چندفراکتالی در بازار برق

چکیده انگلیسی

In this paper, we investigate the multiscale cross-correlations between electricity price and trading volume in Czech market based on a newly developed algorithm, called Multifractal Cross-Correlation Analysis (MFCCA). The new algorithm is a natural multifractal generalization of the Detrended Cross-Correlation Analysis (DCCA), and is sensitive to cross-correlation structure and free from limitations of other algorithms. By considering the original sign of the cross-covariance, it allows us to properly quantify and detect the subtle characteristics of two simultaneous recorded time series. First, the multifractality and the long range anti-persistent auto-correlations of price return and trading volume variation are confirmed using Multifractal Detrended Fluctuation Analysis (MF-DFA). Furthermore, we show that there exist long-range anti-persistent cross-correlations between price return and trading volume variation by MFCCA. And we also identify that the cross-correlations disappear on the level of relative small fluctuations. In order to obtain deeper insight into the dynamics of the electricity market, we analyze the relation between generalized Hurst exponent and the multifractal cross-correlation scaling exponent λqλq. We find that the difference between the generalized Hurst exponent and the multifractal cross-correlation scaling exponent is significantly different for smaller fluctuation, which indicates that the multifractal character of cross-correlations resembles more each other for electricity price and trading volume on the level of large fluctuations and weakens for the smaller ones.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.