A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework
The existence of chaos is particularly relevant, as the identification of a chaotic behavior in a time series could lead to reliable short-term forecasting. This paper evaluates the existence of nonlinearity and chaos in the underlying process of the spot prices of the Spanish electricity market. To...
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| Format: | Article |
| Language: | English |
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MDPI AG
2024-03-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/12/6/893 |
| _version_ | 1797240155598225408 |
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| author | Lucía Inglada-Pérez Sandra González y Gil |
| author_facet | Lucía Inglada-Pérez Sandra González y Gil |
| author_sort | Lucía Inglada-Pérez |
| collection | DOAJ |
| description | The existence of chaos is particularly relevant, as the identification of a chaotic behavior in a time series could lead to reliable short-term forecasting. This paper evaluates the existence of nonlinearity and chaos in the underlying process of the spot prices of the Spanish electricity market. To this end, we used daily data spanning from 1 January 2013, to 31 March 2021 and we applied a comprehensive framework that encompassed a wide range of techniques. Nonlinearity was analyzed using the BDS method, while the existence of a chaotic structure was studied through Lyapunov exponents, recurrence plots, and quantitative recurrence analysis. While nonlinearity was detected in the underlying process, conclusive evidence supporting chaos was not found. In addition, the generalized autoregressive conditional heteroscedastic (GARCH) model accounts for part of the nonlinear structure that is unveiled in the electricity market. These findings hold substantial value for electricity market forecasters, traders, producers, and market regulators. |
| first_indexed | 2024-04-24T18:02:56Z |
| format | Article |
| id | doaj.art-b5ddd0ad15724f47b4197909064a3801 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-04-24T18:02:56Z |
| publishDate | 2024-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-b5ddd0ad15724f47b4197909064a38012024-03-27T13:53:15ZengMDPI AGMathematics2227-73902024-03-0112689310.3390/math12060893A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological FrameworkLucía Inglada-Pérez0Sandra González y Gil1Department of Statistics and Operational Research, Faculty of Medicine, Complutense University, Plaza Ramón y Cajal, s/n Ciudad Universitaria, 28040 Madrid, SpainDepartment of Statistics and Operational Research, Complutense University, Plaza Ramón y Cajal, s/n Ciudad Universitaria, 28040 Madrid, SpainThe existence of chaos is particularly relevant, as the identification of a chaotic behavior in a time series could lead to reliable short-term forecasting. This paper evaluates the existence of nonlinearity and chaos in the underlying process of the spot prices of the Spanish electricity market. To this end, we used daily data spanning from 1 January 2013, to 31 March 2021 and we applied a comprehensive framework that encompassed a wide range of techniques. Nonlinearity was analyzed using the BDS method, while the existence of a chaotic structure was studied through Lyapunov exponents, recurrence plots, and quantitative recurrence analysis. While nonlinearity was detected in the underlying process, conclusive evidence supporting chaos was not found. In addition, the generalized autoregressive conditional heteroscedastic (GARCH) model accounts for part of the nonlinear structure that is unveiled in the electricity market. These findings hold substantial value for electricity market forecasters, traders, producers, and market regulators.https://www.mdpi.com/2227-7390/12/6/893nonlinearitychaostime series forecastingLyapunov exponentartificial neural networksrecurrence plot |
| spellingShingle | Lucía Inglada-Pérez Sandra González y Gil A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework Mathematics nonlinearity chaos time series forecasting Lyapunov exponent artificial neural networks recurrence plot |
| title | A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework |
| title_full | A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework |
| title_fullStr | A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework |
| title_full_unstemmed | A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework |
| title_short | A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework |
| title_sort | study on the nature of complexity in the spanish electricity market using a comprehensive methodological framework |
| topic | nonlinearity chaos time series forecasting Lyapunov exponent artificial neural networks recurrence plot |
| url | https://www.mdpi.com/2227-7390/12/6/893 |
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