Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools

Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools

In this paper we examine and compare the efficiency of four European electricity markets (NordPool, Italian, Spanish and Greek) of different microstructure and level of maturity, by testing the weak form of the Efficient Market Hypothesis (EMH). To quantify the level of efficiency deviation of each...

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Bibliographic Details
Main Authors: George P. Papaioannou, Christos Dikaiakos, Akylas C. Stratigakos, Panos C. Papageorgiou, Konstantinos F. Krommydas
Format: Article
Language:English
Published: MDPI AG 2019-02-01
Series:Energies
Subjects:
electricity market
efficiency
EMH
complexity
Hurst exponent
entropy
composite index
Online Access:https://www.mdpi.com/1996-1073/12/4/618

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https://www.mdpi.com/1996-1073/12/4/618

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