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Open AccessArticle

A New Approach to Measure Volatility in Energy Markets

1
Department of Applied Mathematics and Statistics, Universidad Politécnica de Cartagena, Cartagena 30202, Spain
2
Department of Electrical Engineering, Universidad Politécnica de Cartagena, Cartagena 30202, Spain
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Author to whom correspondence should be addressed.
Entropy 2012, 14(1), 74-91; https://doi.org/10.3390/e14010074
Received: 15 November 2011 / Revised: 4 January 2012 / Accepted: 18 January 2012 / Published: 23 January 2012
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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MDPI and ACS Style

Ruiz, M.d.C.; Guillamón, A.; Gabaldón, A. A New Approach to Measure Volatility in Energy Markets. Entropy 2012, 14, 74-91. https://doi.org/10.3390/e14010074

AMA Style

Ruiz MdC, Guillamón A, Gabaldón A. A New Approach to Measure Volatility in Energy Markets. Entropy. 2012; 14(1):74-91. https://doi.org/10.3390/e14010074

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. https://doi.org/10.3390/e14010074

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