A New Approach to Measure Volatility in Energy Markets

Entropy

Mar໚ del Carmen Ruiz¹  Antonio Guillamón¹ 

[1] Department of Applied Mathematics and Statistics, Universidad Politécnica de Cartagena, Cartagena 30202, Spain; E-Mails:

关键词: volatility;    entropy;    power markets;   

DOI  :  10.3390/e14010074

来源: mdpi

【 摘 要 】

Several measures of volatility have been developed in order to quantify the degree of uncertainty of an energy price series, which include historical volatility and price velocities, among others. This paper suggests using the permutation entropy, topological entropy and the modified permutation entropy as alternatives to measure volatility in energy markets. Simulated data show that these measures are more appropriate to quantify the uncertainty associated to a time series than those based on the standard deviation or other measures of dispersion. Finally, the proposed method is applied to some typical electricity markets: Nord Pool, Ontario, Omel and four Australian markets.

【 授权许可】

CC BY   
© 2012 by the authors; licensee MDPI, Basel, Switzerland.