Are daily and weekly load and spot price dynamics in Australia's National Electricity Market governed by episodic nonlinearity?

In this article, we use half hourly spot electricity prices and load data for the National Electricity Market (NEM) of Australia for the period from December 1998 to June 2009 to test for episodic nonlinearity in the dynamics governing daily and weekly cycles in load and spot price time series data. We apply the portmanteau correlation, bicorrelation and tricorrelation tests introduced in Hinich (1996) to the time series of half hourly spot prices and load demand from 7/12/1998 to 30/06/2009 using a FORTRAN 95 program. We find the presence of significant third and fourth-order (nonlinear) serial dependence in the weekly load and spot price data in particular, but to a much more marginal extent, in the daily data. (author)