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Asymmetric multiscale multifractal detrended cross-correlation analysis for the 1999–2000 California electricity market

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Abstract

In order to access the asymmetric cross-correlation between two time series in a wide range of scales, the method of asymmetric multiscale multifractal detrended cross-correlation analysis (A-MMFCCA) is proposed in this study, which is an extension of the asymmetric detrended fluctuation analysis and the multifractal cross-correlation analysis. Multiscale multifractal detrended cross-correlation analysis enables us to find that the price and the load series of California electricity market exhibit long-range persistent multifractal cross-correlation at different scale ranges during 1999–2000, and the scale range has an important impact on the fractal properties of cross-correlation. Furthermore, the asymmetric cross-correlation between the price and the load series is detected by means of our proposed A-MMFCCA method. Through comparing the local Hurst surfaces with the uptrends and downtrends, we further find that the asymmetric cross-correlation between the price and the load series in 2000 is more significant than that in 1999; the contribution of asymmetric cross-correlation in 1999–2000 mainly depends on different directional trends at different scale ranges. The findings help to interpret the power crisis phenomenon and develop effective and prospective market policy recommendations.

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Acknowledgements

The authors wish to thank the two anonymous reviewers and the handling editor Dr. Tenreiro Machado for their comments and suggestions, which led to a great improvement to the presentation of this work. Research is supported by National Natural Science Foundation of China (Grant Nos. 31501227, 61603283, 61672395), Social Science Foundation of Hunan Province (Grant No. 15YBA204) and the Fundamental Research Funds for the Central Universities (Grant Nos. 2014-Ia-038 and 2016-IA-001).

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Authors and Affiliations

  1. College of Science/Agricultural mathematical modeling and data processing center, Hunan Agricultural University, Changsha, 410128, People’s Republic of China

    Fang Wang

  2. Department of Statistics, School of Science, Wuhan University of Technology, Wuhan, People’s Republic of China

    Qingju Fan

  3. School of Information Engineering, Wuhan University of Technology, Wuhan, People’s Republic of China

    Kehao Wang

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  1. Fang Wang
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  2. Qingju Fan
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  3. Kehao Wang
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Correspondence to Qingju Fan.

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Wang, F., Fan, Q. & Wang, K. Asymmetric multiscale multifractal detrended cross-correlation analysis for the 1999–2000 California electricity market. Nonlinear Dyn 91, 1527–1540 (2018). https://doi.org/10.1007/s11071-017-3962-7

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