A novel method, which we called the analogous multifractal cross-correlation analysis, is proposed in this paper to study the multifractal behavior in the power-law cross-correlation between price and load in California electricity market. In addition, a statistic , which we call the analogous multifractal cross-correlation coefficient, is defined to test whether the cross-correlation between two given signals is genuine or not. Our analysis finds that both the price and load time series in California electricity market express multifractal nature. While, as indicated by the statistical test, there is a huge difference in the cross-correlation behavior between the years 1999 and 2000 in California electricity markets.
The authors wish to thank the reviewers and the handling editor for their comments and suggestions, which led to a great improvement to the presentation of this work.
This work was supported by the National Natural Science Funds of China (No. 31071328), Key Project Fund of Science and Technology Program of Hunan Province (2011GK2024), and Ministry of Education Doctoral Research Fund Project of China (No. 20114320110001).
I. INTRODUCTION II. METHODS A. AMFA B. AMF-XA C. Statistical tests for power-law cross-correlation III. DATA, ANALYSIS AND RESULTS IV. DISCUSSION AND CONCLUSION