Multifractal detrended cross-correlation analysis of Indian Electricity market

摘要

In this paper, we investigate the cross-correlation behavior and multifractal characteristics of Indian electricity energy exchange rate time series of two extreme season's i.e. summer and winter through the recently developed multifractal detrended cross-correlation analysis method. For this purpose, we have collected the time series over 15 min time interval of the electricity market clearing volume and price before transmission congestion during peak summer i.e. month of May and peak winter i.e. month of December for the years 2012, 2013 and 2014. The cross-correlation analysis was carried out between volume and price of summer and winter data. From our analysis, we observe a cross over in time scale s* of the fluctuation function and the scaling exponents were calculated for long term (>s*) and short term (