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Multifractal detrended cross-correlation analysis for power markets

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成果类型:
期刊论文
作者:
Wang, Fang*;Liao, Gui-ping;Zhou, Xiao-yang;Shi, Wen
通讯作者:
Wang, Fang
作者机构:
[Shi, Wen; Wang, Fang] Hunan Agr Univ, Coll Sci, Changsha 410128, Hunan, Peoples R China.
[Liao, Gui-ping; Wang, Fang] Hunan Agr Univ, Agr Informat Inst, Changsha 410128, Hunan, Peoples R China.
[Zhou, Xiao-yang] Huazhong Univ Sci & Technol, Dept Math, Wuhan 430074, Peoples R China.
通讯机构:
[Wang, Fang] H
Hunan Agr Univ, Coll Sci, Changsha 410128, Hunan, Peoples R China.
语种:
英文
关键词:
Auto-correlation;Power time series;Multifractal detrended analysis;Multifractal detrended cross-correlation analysis;Time-delay
期刊:
Nonlinear Dynamics
ISSN:
0924-090X
年:
2013
卷:
72
期:
1-2
页码:
353-363
基金类别:
national natural science funds of ChinaNational Natural Science Foundation of China (NSFC) [31071328]; province science foundation of Hunan [10JJ5040]; Ministry of education doctoral research fund project of China [20114320110001]
机构署名:
本校为第一且通讯机构
院系归属:
理学院
信息科学技术学院
摘要:
Multifractal theory has been widely used in kinds of field. In this paper, methods were proposed to study in the power-law auto-correlation and cross-correlation of power operating data based on multifractal detrended analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DXA). We find that both the price and the load time series in California power market and PJM power market exhibit long-term correlation. And the cross-correlation behaviors of the two series in each power market and between the two markets are also analyzed by the method MF-DXA after testing the existenc...

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