Data for: Fine structure of the price–demand relationship in the electricity market: Multi-scale correlation analysis

Abstract of associated article: In this research we investigate the problems of dynamic relationship between electricity price and demand over different time scales for two largest price zones of the Russian wholesale electricity market. We use multi-scale correlation analysis based on a modified method of time-dependent intrinsic correlation and the complete ensemble empirical mode decomposition with adaptive noise for this purpose. Three hypotheses on the type and strength of correlations in the short-, medium- and long-runs were tested. It is shown that price zones significantly differ in internal price–demand correlation structure over the comparable time scales, and not each of the theoretically formulated hypotheses is true for each of them. We can conclude that the answer to the question whether it is necessary to take into account the influence of demand-side on electricity spot prices over different time scales, is significantly dependent on the structure of electricity generation and consumption on the corresponding market.

相关研究论文摘要：本研究针对俄罗斯批发电力市场两大核心电价分区，探究不同时间尺度下电价与用电需求间的动态关联问题。为此，本研究采用基于改进时变内在相关分析（time-dependent intrinsic correlation）法与自适应噪声完备集合经验模态分解（complete ensemble empirical mode decomposition with adaptive noise）的多尺度关联分析方法。本研究对短、中、长期维度下关联的类型与强度相关的三项假说进行了验证。研究结果表明，在可比时间尺度下，不同电价分区的电价-需求关联结构存在显著差异，且并非所有理论提出的假说均适用于所有分区。综上，针对不同时间尺度下是否需要考虑用电侧对电力现货价格的影响这一问题，其答案显著取决于对应电力市场的发电与用电结构。