114 citations · 326 across the 19 of their papers we have counts for
Showing q-fin.STShow all
2 papers · 1 filter
q-fin.ST2017★ 13 cited
Correlations and Clustering in Wholesale Electricity Markets
Tianyu Cui, Francesco Caravelli, Cozmin Ududec
We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and…
q-fin.ST2015
Multi-scaling of wholesale electricity prices
Francesco Caravelli, James Requeima, Cozmin Ududec +3
We empirically analyze the most volatile component of the electricity price time series from two North-American wholesale electricity markets. We show that these time series exhibi…