Electrical Engineering and Automation December2015, Volume 4, Issue 4, PP.59-65
Research on Electricity Price Characteristic Difference based on Multifractal Detrended Fluctuation Analysis Wenni Liu, Fang Wang†, Rong Gao College of Science, Hunan Agricultural University, Changsha Hunan 410128, China †
Email: topwang619@163.com
Abstract In order to investigate the dynamic characteristics of the various prices in different electricity markets, in this paper, multifractal detrended fluctuation analysis (MF-DFA) is employed to analyze multifractal natures on peak and off-peak in three global typical localized electricity markets, namely, Canadian Alberta, Ontario and Columbia middle electricity markets. In practice, we firstly checked the randomness and stationarity of the price sequences in the three electricity markets and found all of them were nonrandom and non-stationary. And then by calculating MF-DFA exponents of the price sequences, which demonstrated the multifractal nature of electricity price during these time frames. To further uncover dynamic characteristics of the on- and off-peak price in different markets, finally, we used multifractal singular spectrum (MFS) to investigate the discrepancy between the two periods’ prices. The huge differences of the MFS’s shapes of the prices show that the huge differences existed in different periods and different markets. These differences have reflected their different dynamic characteristic, which can provide novel theoretical basis for electricity price forecasting in different periods. Keywords: Multifractal Detrended Fluctuation Analysis; Multifractal Spectrum; On-peak Price; Off-peak Price
基于多重分形去趋势波动分析的电价 特征差异研究 * 刘文妮,王访,高蓉 湖南农业大学理学院,湖南 长沙 410128 摘 要:为了研究不同电价的动力学特征,本文利用多重分形去趋势波动分析(MF-DFA)对全球典型的区域电力市场: 加拿大阿尔伯塔省安大略省和哥伦比亚中部电力市场的高峰时段、非高峰时段的多重分形特性进行分析。首先检验了三 个市场的电价序列的非随机性和非平稳性,然后计算了上述时段的 MF-DFA 指数,实证了这些时段电价的多重分形特征。 进一步,利用多重分形奇异谱揭示了不同市场不同时段的电价的差异。这些差异真实地反应了它们不同的电价特点,能 够为不同时段的电价预测工作提供新的理论依据。 关键词:多重分形去趋势波动分析;多重分形奇异谱;高峰电价;非高峰电价
引言 电价是电力市场竞争效率的核心评价指标,随着全球电力改革的不断深化和竞争性电力市场的出现, 电价预测变得越来越重要。精确的电价预测能够为市场参与者规避各种风险实现利润最大化;同时也为管 理者更好地掌握市场运行规律、制定政策法规提供依据。建立分时段电价预测模型是进行电力投资的重要 *
基金资助:国家级/湖南省大学生创新创业训练计划项目(G(S)CX1408) 。 - 59 www.ivypub.org/eea