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Entropy 2012, 14(1), 74-91;

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
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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. View Full-Text
Keywords: volatility; entropy; power markets volatility; entropy; power markets

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This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

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

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