Schlüter, Stephan and Kojić, Milena and Mitić, Petar and Von Döllen, Andreas and Antunes de Araujo, Fernando Henrique (2025) Breaking the power price code: what multifractals and copulas reveal about energy market dynamics? Fractals, 33 (5). ISSN 1793-6543
Full text not available from this repository.Abstract
This study examines the complex relationship between power prices and energy sources in Germany’s electricity market through an innovative combination of multifractal detrended cross-correlation analysis (MFDCCA) and copula modeling. Analyzing hourly data from 2015 to 2023, we investigate production values from conventional sources (lignite, hard coal, natural gas) and renewables (offshore/onshore wind, pumped storage hydropower). Our copula analysis reveals distinct patterns: offshore wind shows minimal monthly correlation with prices, while onshore wind exhibits strong seasonal negative correlation patterns. The MFDCCA uncovers deeper structural relationships, with fossil fuels displaying persistent long-range correlations and strong multifractal characteristics. Natural gas emerges as both a price driver and volatility amplifier, while wind generation contributes to price fluctuations at scale. Base load sources like lignite and hard coal demonstrate steady correlation structures, aligning with merit order theory. These findings gain particular relevance as Germany’s power market opens to smaller stakeholders, including private households accessing day-ahead prices. Our results suggest that while merit order theory remains fundamentally valid, modern energy markets require more sophisticated modeling approaches to capture their full complexity.
| Item Type: | Article |
|---|---|
| Additional Information: | COBISS.ID=169677065 |
| Uncontrolled Keywords: | multifractal analysis, copulas, energy market, renewable power, power prices |
| Research Department: | Sustainable Development |
| Depositing User: | Jelena Banovic |
| Date Deposited: | 24 Feb 2026 12:16 |
| Last Modified: | 24 Feb 2026 12:16 |
| URI: | http://ebooks.ien.bg.ac.rs/id/eprint/2312 |
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