Modeling Dynamic Multifractal Efficiency of US Electricity Market

The dramatic deregulatory reforms in US electricity markets increased competition, resulting more complex prices compared to other commodities. This paper aims investigate and compare the overall time-varying multifractality efficiency of four major regions: Mass Hub, Mid C, Palo Verde, PJM West. Multifractal detrended fluctuation analysis (MFDFA) is employed better quantify intensity self-similarity. Large daily data from 2001 2021 are taken order make a conclusive analysis. market returns showed strong multifractal features with West having highest (corresponding lowest efficiency) Hub (i.e., efficiency). Moreover, all series exhibited mean reverting (anti-persistent) behavior time period. findings MFDFA rolling window suggest Verde as most volatile index, while significant upward trend observed after first quarter 2014. novel have important implications for policymakers, regulatory authorities, decision makers forecast control efficiency.