Modeling anomalous di usion and volatility in the Australian national electricity market using a space-fractional Black-Scholes framework
Modeling anomalous diffusion and volatility in the Australian national electricity market using a space-fractional Black-Scholes framework Doungporn Wiwatanapataphee, Yong Hong Wu, Wannika Sawangtong, Panumart Sawangtong The electricity market—particularly the Australian National Electricity Market (NEM)—is characterized by extreme volatility, sudden price spikes, and complex nonlinear dynamics. These phenomena are largely driven by supply-demand imbalances, the increasing …
