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Level: BSc, MSci, MSc
Title: On-off intermittency in spot price market data
Supervisor:

Dr Wolfram Just

Research Area: Dynamical Systems and Statistical Physics
Description:

Predicting and forecasting market evolution is one of the holy grails in economics and financial mathematics. Data analysis tools are used in this context to provide useful information for traders and market participants. Within this project, time series data of the electricity system price of the Nord Pool spot market are used to benchmark data analysis tools.

Of particular interest is to uncover correlations in the time series as for instance those induced by electricity consumption as well as to uncover the relevance of non-stationary features. The analysis will be based on returns of spot price data. The main aim of the project is the detection of scaling behaviours known from so called on-off intermittent systems.
Further Reading:
  • H. Erzgraeber, F. Strozzi, J.-M. Zaldivar, H. Touchette, E. Gutierrez, D. K. Arrowsmith, Time series analysis and long range correlations of Nordic spot electricity market data, Physica A 387 (2008) 6567–6574.
  • J. F. Heagy, N. Platt, S. M. Hammel, Characterization of on-off intermittency, Phys. Rev. E 49 (1994) 1140–1150.
Key Modules:

MTH744U/MTH744P Dynamical Systems (helpful)

MTH6934/MTH734U/MTHM012/MTH712P Topics in Probability and Stochastic Processes (helpful)
Other Information:
Current Availability: Yes