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http://ssrn.com/abstract=1018333
 
 

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The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponents


Mikael Bask


Bank of Finland - Research

Tung Liu


Ball State University - Department of Economics

Anna Widerberg


Göteborg University - Department of Economics and Statistics

2006

Bank of Finland Research Discussion Paper No. 9/2006

Abstract:     
The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic) dynamics. The data set used is spot electricity prices from the Nordic power exchange market. Nord Pool, and the dynamic system that generates these prices appears to be chaotic in one case.

Number of Pages in PDF File: 23

Keywords: feedforward neural network, Nord Pool, Lyapunov exponents, spot electricity prices, stochastic dynamic system

JEL Classification: C12, C14, C22

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Date posted: October 2, 2007  

Suggested Citation

Bask, Mikael and Liu, Tung and Widerberg, Anna, The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponents (2006). Bank of Finland Research Discussion Paper No. 9/2006. Available at SSRN: http://ssrn.com/abstract=1018333 or http://dx.doi.org/10.2139/ssrn.1018333

Contact Information

Mikael Bask (Contact Author)
Bank of Finland - Research ( email )
P.O. Box 160
FIN-00101 Helsinki
Finland
Tung Liu
Ball State University - Department of Economics ( email )
Muncie, IN 47306-0340
United States
765-285-5360 (Phone)
765-285-4313 (Fax)
Anna Widerberg
Göteborg University - Department of Economics and Statistics ( email )
Box 640
Göteborg, 40530
Sweden
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