Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/242275 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] European Financial and Accounting Journal [ISSN:] 1805-4846 [Volume:] 14 [Issue:] 3 [Publisher:] University of Economics, Faculty of Finance and Accounting [Place:] Prague [Year:] 2019 [Pages:] 25-44
Publisher: 
University of Economics, Faculty of Finance and Accounting, Prague
Abstract: 
In this paper we analyse a temporal evolution of the Hurst exponent estimated on hourly returns of intraday electricity prices in the Czech Republic in 2017 and 2018. Firstly we used the log-returns with adjustments due to negative values, and secondly we employed the returns based on the area hyperbolic sine transformation. We implemented a sliding window technique in order to estimate the Hurst exponent using the Detrended Fluctuation Analysis method on subsamples with four distinct window sizes. According to the stylised facts of electricity, the spot prices and their corresponding logarithmic returns should be mean-reverting. Since the Czech intraday electricity market remains mostly unexplored, we examined this phenomenon on the intraday rather than on the spot market. Consequently, our analysis showed that the estimated values of Hurst exponent indicate a mean-reverting process for time scales greater than 24 hours and a weakly mean-reverting process for the shorter time scales. There were a few exceptions, though, since our calculations have revealed the presence of a nearly random or even weakly persistent behaviour on the shorter time scales.
Subjects: 
Hurst exponent
Detrended Fluctuation Analysis
electricity markets
intraday market
JEL: 
C13
G10
Persistent Identifier of the first edition: 
Document Type: 
Article

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