英文标题：
《Predictability of price movements in deregulated electricity markets》
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作者：
Olga Y. Uritskaya and Vadim M. Uritsky
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最新提交年份：
2015
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英文摘要：
In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the probability distribution analysis we show that the studied markets exhibit strongly anti-persistent properties suggesting that their dynamics can be predicted based on historic price records across the range of time scales from one hour to one month. For both Canadian markets, the price movements reveal three types of correlated behavior which can be used for forecasting. The discovered scenarios remain the same on different time scales up to one month as well as for on- and off- peak electricity data. These scenarios represent sharp increases of prices and are not present in the Mid-C market due to its lower volatility. We argue that extreme price movements in this market should follow the same tendency as the more volatile Canadian markets. The estimated values of the Pareto indices suggest that the prediction of these events can be statistically stable. The results obtained provide new relevant information for managing financial risks associated with the dynamics of electricity derivatives over time frame exceeding one day.
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中文摘要：
在本文中，我们调查了加拿大阿尔伯塔省和安大略省以及美国中C市场电价的可预测性。使用尺度相关的去趋势波动分析、谱分析和概率分布分析，我们表明，所研究的市场表现出强烈的抗持续性，这表明可以根据从一小时到一个月的时间尺度范围内的历史价格记录来预测其动态。对于这两个加拿大市场，价格变动揭示了三种可用于预测的相关行为。在长达一个月的不同时间尺度上，以及在高峰和非高峰电力数据上，发现的情景保持不变。这些情况代表着价格的急剧上涨，由于波动性较低，Mid-C市场不存在这种情况。我们认为，这一市场的极端价格变动应该遵循与波动性更大的加拿大市场相同的趋势。帕累托指数的估计值表明，对这些事件的预测在统计上是稳定的。所得结果为管理超过一天的电力衍生品动态相关金融风险提供了新的相关信息。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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