| Issue |
E3S Web Conf.
Volume 118, 2019
2019 4th International Conference on Advances in Energy and Environment Research (ICAEER 2019)
|
|
|---|---|---|
| Article Number | 02061 | |
| Number of page(s) | 4 | |
| Section | Energy Equipment and Application | |
| DOI | https://doi.org/10.1051/e3sconf/201911802061 | |
| Published online | 04 October 2019 | |
Effectiveness of Electricity Derivatives Market Based on Hurst Exponent
1
School of Economics and Management, North China Electric Power University, Beijing, 102206, China
2
State Grid Energy Research Institute CO., Ltd, Beijing 100052, China
* Corresponding author: fordevoted@foxmail.com
The Rescaled Range Analysis method (R/S Analysis method) is applied to analyze the PJM electricity derivatives market through calculating V statistics and Hurst Exponent of three types of products. The study finds that there is no obvious average cycle in the PJM electricity derivatives market. The price fluctuation of various products is not a non-random walk process but has a long-term memory. It shows that the PJM electricity derivatives market is not completely effective. The study also finds that PJM electricity option market is more effective than PJM electricity futures market.
© The Authors, published by EDP Sciences, 2019
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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