title: Cross-correlation detection and analysis for California's electricity market based on analogous multifractal analysis.
abstract: A novel method, which we called the analogous multifractal cross-correlation analysis, is proposed in this paper to study the multifractal behavior in the power-law cross-correlation between price and load in California electricity market. In addition, a statistic ρAMF-XA, which we call the analogous multifractal cross-correlation coefficient, is defined to test whether the cross-correlation between two given signals is genuine or not. Our analysis finds that both the price and load time series in California electricity market express multifractal nature. While, as indicated by the ρAMF-XA statistical test, there is a huge difference in the cross-correlation behavior between the years 1999 and 2000 in California electricity markets.
authors.affiliation: Science College, Hunan Agricultural University, Changsha 410128, China.
authors.forename: Fang
authors.initials: F
authors.lastname: Wang
authors.forename: Gui-ping
authors.initials: GP
authors.lastname: Liao
authors.forename: Jian-hui
authors.initials: JH
authors.lastname: Li
authors.forename: Rui-biao
authors.initials: RB
authors.lastname: Zou
authors.forename: Wen
authors.initials: W
authors.lastname: Shi
mesh_terms: D002140:California; D003132:Commerce; D003365:Costs and Cost Analysis; D004560:Electricity; D017709:Fractals; D016014:Linear Models; D018803:Models, Economic; D015233:Models, Statistical; D017711:Nonlinear Dynamics; D011210:Power Plants / Q000191:economics*; D013997:Time Factors