摘要
以美国加州电力市场长期电价序列为研究对象,并由此引入了分数布朗运动模型和R/S分析法,计算出了不同时间区间内电价的赫斯特指数,发现加州电力市场符合分形市场假设,电价遵循有偏的随机游走,具有长期相关性和统计自相关性等性质。这些发现为描述市场环境下的电价分布提供了一种新模式。
In this paper, the long-term electricity price series in California power market are mainly studied. Using the methods of Fractional Brownian Motion and R/S Analysis, the Hurst Indices of electricity price in California market with different time duration are respectively calculated. It can be discovered that electricity prices follow biased random walk, together with long-term dependence and statistical autocorrelation . So California electricity market satisfies the general laws of fractal market, which can provide a new pattern of describing electricity prices in power market.
出处
《能源工程》
2006年第5期1-3,共3页
Energy Engineering
基金
国家重点基础研究发展计划项目(973项目)(2004CB217902)
关键词
电价
分形
布朗运动
R/S分析
电力市场
electricity prices
fractal
Brownian Motion
R/S Analysis
electricity market
