A New Approach to Measure Volatility in Energy Markets
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 ent...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2012-01-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/14/1/74/ |
| _version_ | 1817994298569785344 |
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| author | Antonio Gabaldón Antonio Guillamón María del Carmen Ruiz |
| author_facet | Antonio Gabaldón Antonio Guillamón María del Carmen Ruiz |
| author_sort | Antonio Gabaldón |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-14T01:51:03Z |
| format | Article |
| id | doaj.art-c598f6606a234d57a9d9871943d1947c |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-04-14T01:51:03Z |
| publishDate | 2012-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-c598f6606a234d57a9d9871943d1947c2022-12-22T02:19:22ZengMDPI AGEntropy1099-43002012-01-01141749110.3390/e14010074A New Approach to Measure Volatility in Energy MarketsAntonio GabaldónAntonio GuillamónMaría del Carmen RuizSeveral 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.http://www.mdpi.com/1099-4300/14/1/74/volatilityentropypower markets |
| spellingShingle | Antonio Gabaldón Antonio Guillamón María del Carmen Ruiz A New Approach to Measure Volatility in Energy Markets Entropy volatility entropy power markets |
| title | A New Approach to Measure Volatility in Energy Markets |
| title_full | A New Approach to Measure Volatility in Energy Markets |
| title_fullStr | A New Approach to Measure Volatility in Energy Markets |
| title_full_unstemmed | A New Approach to Measure Volatility in Energy Markets |
| title_short | A New Approach to Measure Volatility in Energy Markets |
| title_sort | new approach to measure volatility in energy markets |
| topic | volatility entropy power markets |
| url | http://www.mdpi.com/1099-4300/14/1/74/ |
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