The stability of electricity prices: Estimation and inference of the Lyapunov exponents

被引：11

作者：

Bask, Mikael

Liu, Tung

Widerberg, Anna

机构：

[1] Bank Finland, Monetary Policy & Res Dept, FIN-00101 Helsinki, Finland

[2] Ball State Univ, Dept Econ, Muncie, IN 47306 USA

[3] Univ Gothenburg, Dept Econ, SE-40530 Gothenburg, Sweden

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 376卷 / 1-2期

关键词：

feedforward neural network; Lyapunov exponents; Nord Pool; spot electricity prices; stochastic dynamic system;

D O I：

10.1016/j.physa.2006.10.016

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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 appi.-ars to be chaotic in one case since the null hypothesis of a non-positive largest Lyapunov exponent is rejected at the 1 per cent level. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：565 / 572

页数：8

共 17 条

[1] HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].