Complex systems, such as the power grid, are essential for our daily lives. Many
complex systems display multifractal behavior, correlated fluctuations and power
laws. Whether the power-grid frequency, an indicator of the balance of supply
and demand in the electricity grid, also displays such complexity remains a
mostly open question. Within the present article, we utilize highly resolved
measurements to quantify the properties of the power-grid frequency, making
three key contributions: First, we demonstrate the existence of power laws in
power-grid frequency measurements. Second, we show that below one second, the
dynamics may fundamentally change, including a suddenly increasing power
spectral density, emergence of multifractality and a change of correlation
behavior. Third, we provide a simplified stochastic model involving positively
correlated noise to reproduce the observed dynamics, possibly linked to
frequency-dependent loads. Finally, we stress the need for high-quality
measurements and discuss how we obtained the data analyzed here.