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Entropy 2012, 14(1), 74-91; doi:10.3390/e14010074
Article

A New Approach to Measure Volatility in Energy Markets

1
, 1
 and 2,*
Received: 15 November 2011; in revised form: 4 January 2012 / Accepted: 18 January 2012 / Published: 23 January 2012
Download PDF [805 KB, uploaded 23 January 2012]
Abstract: Several measures of volatility have been developed in order to quantify the degree of uncertainty of an energy price series, which include historical volatility and price velocities, among others. This paper suggests using the permutation entropy, topological entropy and the modified permutation entropy as alternatives to measure volatility in energy markets. Simulated data show that these measures are more appropriate to quantify the uncertainty associated to a time series than those based on the standard deviation or other measures of dispersion. Finally, the proposed method is applied to some typical electricity markets: Nord Pool, Ontario, Omel and four Australian markets.
Keywords: volatility; entropy; power markets volatility; entropy; power markets
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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MDPI and ACS Style

Ruiz, M.C.; Guillamón, A.; Gabaldón, A. A New Approach to Measure Volatility in Energy Markets. Entropy 2012, 14, 74-91.

AMA Style

Ruiz MC, Guillamón A, Gabaldón A. A New Approach to Measure Volatility in Energy Markets. Entropy. 2012; 14(1):74-91.

Chicago/Turabian Style

Ruiz, María del Carmen; Guillamón, Antonio; Gabaldón, Antonio. 2012. "A New Approach to Measure Volatility in Energy Markets." Entropy 14, no. 1: 74-91.


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