About: ANALYSES OF THE CHAOTIC BEHAVIOR OF THE ELECTRICITY PRICE SERIES

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Electricity price is by its features like mean-reversion, high volatility rate and frequent occurrence of jumps different from other commodities. These differences are mainly caused by non-storability of the electricity, which need to balance supply and demand in real time. Due to these features, electricity price behavior seems somewhat chaotic. In this paper we will introduce methods for investigating whether or not electricity spot prices can be described by usual time series, stochastic models. For this reason we will estimate the largest Lyapunov exponent and the 0-1 test for chaos. We will do a case study on the EPEX Phelix spot index. Electricity price is by its features like mean-reversion, high volatility rate and frequent occurrence of jumps different from other commodities. These differences are mainly caused by non-storability of the electricity, which need to balance supply and demand in real time. Due to these features, electricity price behavior seems somewhat chaotic. In this paper we will introduce methods for investigating whether or not electricity spot prices can be described by usual time series, stochastic models. For this reason we will estimate the largest Lyapunov exponent and the 0-1 test for chaos. We will do a case study on the EPEX Phelix spot index. (en)
Title	ANALYSES OF THE CHAOTIC BEHAVIOR OF THE ELECTRICITY PRICE SERIES ANALYSES OF THE CHAOTIC BEHAVIOR OF THE ELECTRICITY PRICE SERIES (en)
skos:prefLabel	ANALYSES OF THE CHAOTIC BEHAVIOR OF THE ELECTRICITY PRICE SERIES ANALYSES OF THE CHAOTIC BEHAVIOR OF THE ELECTRICITY PRICE SERIES (en)
skos:notation	RIV/68407700:21230/14:00212841!RIV15-MSM-21230___
http://linked.open...avai/riv/aktivita	I
http://linked.open...avai/riv/aktivity	I
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Kratochvíl, Štěpán Kříž, Radko
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	České vysoké učení technické v Praze / Fakulta elektrotechnická
http://linked.open...dnocenehoVysledku	2581
http://linked.open...ai/riv/idVysledku	RIV/68407700:21230/14:00212841
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Chaos theory; Electricity spot price; Time series analysis; Phase Space Reconstruction; Hurst exponent; Lyapunov exponents; 0-1 test for chaos (en)
http://linked.open.../riv/klicoveSlovo	Hurst exponent Chaos theory Phase Space Reconstruction Lyapunov exponents Time series analysis 0-1 test for chaos Electricity spot price
http://linked.open...ontrolniKodProRIV	[BB243AC7DF1B]
http://linked.open...v/mistoKonaniAkce	Praha
http://linked.open...i/riv/mistoVydani	Berlin
http://linked.open...i/riv/nazevZdroje	Interdisciplinary Symposium on Complex Systems (Emergence, Complexity and Computation)
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Kříž, Radko Kratochvíl, Štěpán
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2013-09-10 (xsd:date)
issn	2194-7287
number of pages	10 (xsd:int)
http://bibframe.org/vocab/doi	10.1007/978-3-642-45438-7_21
http://purl.org/ne...btex#hasPublisher	Springer-Verlag
https://schema.org/isbn	978-3-642-45437-0
http://localhost/t...ganizacniJednotka	21230

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