Christos Dikaiakos | Searcharxiv

arXiv2017

Using nonlinear stochastic and deterministic (chaotic tools) to test the EMH of two Electricity Markets the case of Italy and Greece

Utilization of non-linear tools to characterize the state of development of the electricity markets in Italy and Greece. This is equivalent to testing the Efficient Market Hypothesis on these markets. The tools include a variety of complexity measures like Maximal Lyapunov and Hurst exponents and HHI index for market concentration and Entropy, a measure of uncertainty and complexity in a dynamical system, applied on the electricity wholesale marginal prices PUN and SMP of Italy and Greece.Our aim is to measure the complexity and dimensionality of the manifold on which the underlying stochastic dynamical system, govenring the prices, evolve. We also use the conditional volatility of prices, which is a measure of the market risk, and its connection with stability, and Hurst exponent to investigate the properties of the fluctuations of the prices which are the footprints of the idiosyncrracies of each market.

q-fin.ST↗

arXiv2017

Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece

Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the existence of structural changes in correlation patterns among these two markets and links the changes to both fundamentals and regulatory conditions prevailing in the markets, as well as the current European financial crisis. We apply a Dynamic Conditional Correlation (DCC) GARCH model to a set of market s fundamental variables and Greece s financial market and microeconomic indexes to study their interaction. Emphasis is given on the period of severe financial crisis of the Country to understand contagion and volatility spillover between these two markets.

q-fin.ST↗