Next Article in Journal
The Rate-Controlled Constrained-Equilibrium Approach to Far-From-Local-Equilibrium Thermodynamics
Previous Article in Journal
Thermodynamic Modeling for Open Combined Regenerative Brayton and Inverse Brayton Cycles with Regeneration before the Inverse Cycle
Article Menu

Export Article

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

A New Approach to Measure Volatility in Energy Markets

Department of Applied Mathematics and Statistics, Universidad Politécnica de Cartagena, Cartagena 30202, Spain
Department of Electrical Engineering, Universidad Politécnica de Cartagena, Cartagena 30202, Spain
Author to whom correspondence should be addressed.
Received: 15 November 2011 / Revised: 4 January 2012 / Accepted: 18 January 2012 / Published: 23 January 2012
View Full-Text   |   Download PDF [805 KB, uploaded 24 February 2015]   |  


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 (CC BY 3.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

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.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
Entropy EISSN 1099-4300 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top