Multifractal Analysis of the Brazilian Electricity Market

Abstract

In the Brazilian wholesale electricity market, power generators and large consumers negotiate long-term contract prices freely. However, sophisticated computational models evaluate the energy market price, or Difference Settlement Price (DSP). Hydrothermal dispatch optimization models drive these computational models, so market forces do not directly impact market prices. Four electrically interconnected submarkets break down the National Interconnected System (NIS) -Southeast, Northeast, North and South. Considering the historical energy prices, all these submarkets showed anti-persistence behaviour (or meanreversion) and multifractality, aligning with various studies conducted in other markets worldwide. The South submarket exhibited the highest multifractality and lowest efficiency, while the North submarket showed the lowest multifractality and highest efficiency. We also investigated the behaviour of the Hurst exponent and Long Memory Magnitude over time using sliding windows. All submarkets showed anti-persistence behavior throughout the evaluation period, with the South submarket displaying higher volatility in the efficiency index. The Northeast and North submarkets showed a downward trend in their indices over the period, indicating increased efficiency. These findings, while preliminary and requiring further in-depth analysis and consideration of other factors, offer valuable insights for decision-makers and regulators pursuing new market arrangements to boost efficiency.INDEX TERMS Brazilian electricity market, multifractal detrend fluctuation analysis, generalized hurst exponent, anti-persistence, singularity spectrum, market efficiency.

A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework

“…Hence, a literature review on electricity price forecasting is outside of the scope of this paper. Other research on electricity prices has focused on other aspects such as market performance multifractality and price dynamics over time [8][9][10][11][12][13][14][15]. Interestingly, Strozzi et al [3] applied recurrence quantification analysis on NordPool spot prices and compared the volatility found in the series with the metrics calculated from the recurrence plots.…”