Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212034 
Year of Publication: 
2006
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 9/2006
Publisher: 
Bank of Finland, Helsinki
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.
Subjects: 
feedforward neural network
Nord Pool
Lyapunov exponents
spot electricity prices
stochastic dynamic system
JEL: 
C12
C14
C22
Persistent Identifier of the first edition: 
ISBN: 
952-462-276-9
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.