DOI: 10.1140/epjst/e2008-00837-1
Measuring volatility in the Nordic spot electricity market using Recurrence Quantification Analysis
F. Strozzi1, E. Gutiérrez2, C. Noè1, T. Rossi1, M. Serati1 and J.M. Zaldívar21 Università Carlo Cattaneo, Castellanza, Italy
2 Joint Research Centre, European Commission, Ispra, Italy
fstrozzi@liuc.it
Abstract
In this work, we have applied Recurrence Quantification
Analysis (RQA) to data sets taken from the Nordic spot electricity
market. Our main interest was in trying to correlate their
volatility with variables obtained from the quantification of
recurrence plots (RP). For this reason we have based our analysis on
known historical events: the evolution of the Nord Pool market and
climatic factors, i.e. dry and wet years, and we have compared
several dispersion measures with RQA measures in correspondence of
these events. The analysis suggests that two RQA measures: DET and
LAM can be used as a measure of the inverse of the volatility. The
main advantage of using DET and LAM is that these measures provide
also information about the underlying dynamics. This fact is shown
using shuffled and linear Gaussian surrogates of the real time
series.
© EDP Sciences, Springer-Verlag 2008
