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@ARTICLE{Han:916236,
      author       = {Han, Chengyuan and Hilger, Hannes and Mix, Eva and
                      Böttcher, Philipp C. and Reyers, Mark and Beck, Christian
                      and Witthaut, Dirk and Gorjão, Leonardo Rydin},
      title        = {{C}omplexity and {P}ersistence of {P}rice {T}ime {S}eries
                      of the {E}uropean {E}lectricity {S}pot {M}arket},
      journal      = {PRX energy},
      volume       = {1},
      number       = {1},
      address      = {College Park, MD},
      publisher    = {American Physical Society},
      reportid     = {FZJ-2022-06037},
      pages        = {013002},
      year         = {2022},
      abstract     = {The large variability of renewable power sources is a
                      central challenge in the transition to a sustainable energy
                      system. Electricity markets are central for the coordination
                      of electric power generation. These markets rely evermore on
                      short-term trading to facilitate the balancing of power
                      generation and demand and to enable systems integration of
                      small producers. Electricity prices in these spot markets
                      show pronounced fluctuations, featuring extreme peaks as
                      well as occasional negative prices. In this article, we
                      analyze electricity price time series from the European
                      Power Exchange market, in particular the hourly day-ahead,
                      hourly intraday, and 15-min intraday market prices. We
                      quantify the fluctuations, correlations, and extreme events
                      and reveal different time scales in the dynamics of the
                      market. The short-term fluctuations show remarkably
                      different characteristics for time scales below and above 12
                      h. Fluctuations are strongly correlated and persistent below
                      12 h, which contributes to extreme price events and a strong
                      multifractal behavior. On longer time scales, they get
                      anticorrelated and price time series revert to their mean,
                      witnessed by a stark decrease of the Hurst coefficient after
                      12 h. The long-term behavior is strongly influenced by the
                      evolution of a large-scale weather pattern with a typical
                      time scale of four days. We elucidate this dependence in
                      detail using a classification into circulation weather
                      types. The separation in time scales enables a
                      superstatistical treatment, which confirms the
                      characteristic time scale of four days, and motivates the
                      use of q-Gaussian distributions as the best fit to the
                      empiric distribution of electricity prices.},
      cin          = {IEK-STE},
      ddc          = {530},
      cid          = {I:(DE-Juel1)IEK-STE-20101013},
      pnm          = {1112 - Societally Feasible Transformation Pathways
                      (POF4-111) / Verbundvorhaben CoNDyNet2: Kollektive
                      nichtlineare Dynamik komplexer Stromnetze (03EK3055B) /
                      HGF-ZT-I-0029 - Helmholtz UQ: Uncertainty Quantification -
                      from data to reliable knowledge (HGF-ZT-I-0029) / HDS LEE -
                      Helmholtz School for Data Science in Life, Earth and Energy
                      (HDS LEE) (HDS-LEE-20190612) /
                      Open-Access-Publikationskosten Forschungszentrum Jülich
                      (OAPKFZJ) (491111487)},
      pid          = {G:(DE-HGF)POF4-1112 / G:(BMBF)03EK3055B /
                      G:(DE-Ds200)HGF-ZT-I-0029 / G:(DE-Juel1)HDS-LEE-20190612 /
                      G:(GEPRIS)491111487},
      typ          = {PUB:(DE-HGF)16},
      doi          = {10.1103/PRXEnergy.1.013002},
      url          = {https://juser.fz-juelich.de/record/916236},
}