Abstract
The electricity market is a very peculiar market due to the large variety of phenomena thatcan affect the spot price. However, this market still shows many typical features ofother speculative (commodity) markets like, for instance, data clustering andmean reversion. We apply the diffusion entropy analysis (DEA) to the Nordic spotelectricity market (Nord Pool). We study the waiting time statistics betweenconsecutive spot price spikes and find it to show anomalous scaling characterizedby a decaying power law. The exponent observed in data follows a quite robustrelationship with the one implied by the DEA analysis. In terms of the DEA wealso revisit topics like clustering, mean-reversion and periodicities. We finallypropose a GARCH inspired model but for the price itself. Models in the context ofstochastic volatility processes appear under this scope to have a feasible description.
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