英文标题：
《Long-term memory in electricity prices: Czech market evidence》
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作者：
Ladislav Kristoufek and Petra Lunackova
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最新提交年份：
2013
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英文摘要：
  We analyze long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. As the dynamics of the electricity prices is dominated by cycles -- mainly intraday and daily -- we opt for the detrended fluctuation analysis, which is well suited for such specific series. We find that the electricity prices are non-stationary but strongly mean-reverting which distinguishes them from other financial assets which are usually characterized as unit root series. Such description is attributed to specific features of electricity prices, mainly to non-storability. Additionally, we argue that the rapid mean-reversion is due to the principles of electricity spot prices. These properties are shown to be stable across all studied years.
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中文摘要：
我们分析了2009年至2012年间捷克共和国每小时电价的长期记忆特性。由于电价的动态主要由周期控制——主要是日内和日内——我们选择去趋势波动分析，这非常适合于此类特定序列。我们发现电价是非平稳的，但具有很强的均值回复性，这与通常以单位根序列为特征的其他金融资产不同。这种描述归因于电价的具体特征，主要是不可储存性。此外，我们认为，快速均值回归是由于电力现货价格的原则。这些特性在所有研究年份中都是稳定的。
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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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