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a new approach to measure volatility in energy markets一种新的方法来衡量能源市场的波动.pdf

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a new approach to measure volatility in energy markets一种新的方法来衡量能源市场的波动

Entropy 2012, 14, 74-91; doi:10.3390/ OPEN ACCESS entropy ISSN 1099-4300 /journal/entropy Article A New Approach to Measure Volatility in Energy Markets ´ ´ ´ ,⋆ Marıa del Carmen Ruiz , Antonio Guillamon and Antonio Gabaldon ´ Department of Applied Mathematics and Statistics, Universidad Politecnica de Cartagena, Cartagena 30202, Spain; E-Mails: maricarmen.ruiz@upct.es (M.C.R.); antonio.guillamon@upct.es (A.G.) ´ Department of Electrical Engineering, Universidad Politecnica de Cartagena, Cartagena 30202, Spain ⋆ Author to whom correspondence should be addressed; E-Mail: antonio.gabaldon@upct.es; Tel.: +34-96-833-8944; Fax: +34-96-832-5356. Received: 15 November 2011; in revised form: 4 January 2012 / Accepted: 18 January 2012 / Published: 23 January 2012 Abstract: Several measures of volatility have been developed in order to quantify the degree of uncertainty of an energy price series, which include historical volatility and price velocities, among others. This paper suggests using the permutation entropy, topological entropy and the modiﬁed permutation entropy as alternatives to measure volatility in energy markets. Simulated data show that these measures are more appropriate to quantify the uncertainty associated to a time series than those based on the standard deviation or other