# Fractal Analysis of Electrical Power Time Series

## Abstract

Fractal time series has been shown to be self-affine and are characterized by a roughness exponent $`H`$. The exponent $`H`$ is a measure of the persistence of the fluctuations associated with the time series. We use a recently introduced method for measuring the roughness exponent, the mobile averages analysis, to compare electrical power demand of two different places, a touristic city and a whole country.

Over the last years, physicists, biologists and economists have found a new way of understanding the growth of complexity in nature. Fractals are the way of seeing order and pattern where formerly only the random and unpredictable had been observed. The father of fractals, Benoit Mandelbrot, begun thinking in them studying the distribution of large and small incomes in economy in the $`60`$’s. He noticed that an economist’s article of faith seemed to be wrong. It was the conviction that small, transient changes had nothing in common with large, long term changes. Instead of separating tiny changes from grand ones, his picture bound them together. He found patterns across every scale. Each particular change was random and unpredictable. But the sequence of changes was independent of scale: curves of daily changes and monthly changes matched perfectly.

Mandelbrot worked in IBM, and after his study in economy, he came upon the problem of noise in telephone lines used to transmit information between computers. The transmission noise was well known to come in clusters. Periods of errorless communication would be followed by periods of errors. Mandelbrot provided a way of describing the distribution of errors that predicted exactly the pattern of errors observed. His description worked by making deeper and deeper separations between periods with errors and periods without errors. But within periods of errors (no matter how short) some periods completely clean will be found. Mandelbrot was duplicating the Cantor set, created by the $`19^{th}`$ century mathematician Georg Cantor.

In the fractal way of looking nature roughness and asymmetry are not just accidents on the classic and smooth shapes of Euclidian geometry. Mandelbrot has said that “mountains are not cones and clouds are not spheres”. Fractals have been named the geometry of nature because they can be found everywhere in nature: mammalian lungs, trees, and coastlines, to name just a few.

An english scientist, Lewis Richardson around 1920 checked encyclopedias in Spain, Portugal, Belgium and the Netherlands and discovered discrepancies of twenty percent in the lengths of their common frontiers. In  the authors measured the coast of Britain on a geographical map with different compass settings by counting the number of steps along the coast with each setting. The smaller the setting they used, the longer the length of the coastline they obtained. If this experiment is done to measure the perimeter of a circle, (or any other euclidean shape), the length obtained converges with smaller compass settings. In his famous book  Mandelbrot states that the length of a coastline can never be actually measured, because it depends on the length of the ruler we use.

Fractal sets show self similarity with respect to space. Fractal time series have statistical self similarity with respect to time. In the social and economic fields, time series are very common. In  a simple way to demonstrate self-similarity in a time series of stock returns is devised by asking the reader to guess which graph corresponds to daily, weekly and monthly returns between three different graphs with no scale on the axes.

An important statistics used to characterize time series is the Hurst exponent . Hurst was a hydrologist who worked on the Nile River Dam project in the first decades of this century. At that time, it was common to assume that the uncontrollable influx of water from rainfall followed a random walk, in which each step is random and independent from previous ones. The random walk is based on the fundamental concept of Brownian motion. Brownian motion refers to the erratic displacements of small solid particles suspended in a liquid. The botanist Robert Brown, about 1828, realized that the motion of the particles is due to light collisions with the molecules of the liquid.

Hurst measured how the reservoir level fluctuated around its average level over time. The range of this fluctuation depends on the length of time used for measurement. If the series were produced by a random walk, the range would increase with the square root of time as $`T^{1/2}`$. Hurst found that the random walk assumption was wrong for the fluctuations of the reservoir level as well as for most natural phenomena, like temperatures, rainfall and sunspots. The fluctuations for all this phenomena may be characterized as a “biased random walk”-a trend with noise- with range increasing as $`T^H`$, with $`H>0.5`$. Mandelbrot called this kind of generalized random walk fractional brownian motion. In high-school statistical courses we have been taught that nature follows the gaussian distribution which corresponds to random walk and $`H=1/2`$. Hurst’s findings show that it is wrong.

The proper range for $`H`$ is from $`0`$, corresponding to very rough random fractal curves, to 1 corresponding to rather smooth looking fractals. In fact, there is a relation between $`H`$ and the fractal dimension $`D`$ of the graph of a random fractal:

$$D=2H.$$
(1)   
Thus, when the exponent $`H`$ vary from $`0`$ to $`1`$, yields dimensions $`D`$ decreasing from $`2`$ to $`1`$, which correspond to more or less wiggly lines drawn in two dimensions.

Fractional Brownian motion can be divided into three distinct categories: $`H<1/2`$, $`H=1/2`$ and $`H>1/2`$. The case $`H=1/2`$ is the ordinary random walk or Brownian motion with independent increments which correspond to normal distribution.

For $`H<1/2`$ there is a negative correlation between the increments. This type of system is called antipersistent. If the system has been up in some period, it is more likely to be down in the next period. Conversely, if it was down before, it is more likely to be up next. The antipersistence strength depends on how far $`H`$ is from $`1/2`$.

For $`H>1/2`$ there is a positive correlation between the increments. This is a persistent series. If the system has been up (down) in the last period, it will likely continue positive (negative) in the next period. Trends are characteristics of persistent series. The strength of persistence increases as $`H`$ approaches $`1`$. Persistent time series are plentiful in nature and in social systems. As an example the Hurst exponent of the Nile river is $`0.9`$, a long range persistence that requires unusually high barriers, such as the Aswân High Dam to contain damage in the floods.

Generally, experimental time series don’t have a unique $`H`$. In that case time series may be considered as a multifractal, $`H`$ is associated with the singularity exponent $`\alpha `$ restricted to an interval $`\alpha _{min}<\alpha <\alpha _{max}`$ characterized by the singularity spectrum $`f(\alpha )`$.

In order to analyze the fractal properties of electrical power consumption, we used a recently developed technique to obtain Hurst exponents of self-affine time series based on the so-called mobile averages . The method is introduced as follows: consider a time series $`y(t)`$ given at discrete times $`t`$, a mobile average $`\overline{y}(t)`$ is defined as

$$\overline{y}(t)=\frac{1}{T}\underset{i=0}{\overset{T1}{}}y(ti),$$
(2)   
i.e., the average of the last $`T`$ data points. Its can be easily show that if $`y(t)`$ increases (decreases) with time, $`\overline{y}<y`$ ($`\overline{y}>y`$). Thus the mobile average captures the trend of the signal over the time interval $`T`$. Although the mobile average is used mainly for studying the behavior of financial time series, the procedure can be, in fact, used on any times series.

Now, consider two different mobile averages $`\overline{y}_1`$and $`\overline{y}_2`$characterized over intervals $`T_1`$ and $`T_2`$ respectively, such that $`T_2>T_1`$. As it is well known in stock chart analysis, the crossing of $`\overline{y}_1`$and $`\overline{y}_2`$coincide with drastic changes of the trend of $`y(t)`$. If $`y(t)`$ increases for a long period before decreasing rapidly, $`\overline{y}_1`$will cross $`\overline{y}_2`$from above. On the contrary, if $`\overline{y}_1`$crosses $`\overline{y}_2`$from below, the crossing point coincides with an upsurge of the signal $`y(t)`$. This type of crosses are used in empirical finance to extrapolate the evolution of the market.

If a signal is self-affine, it shows scaling properties of the form

$$y(t)b^Hy(bt),$$
(3)   
where the exponent $`H`$ is the Hurst exponent.

It is well known  that the set of crossing points between the signal $`y(t)`$ and the $`y=0`$ level is a Cantor set with fractal dimension $`1H`$. On the other hand, in reference  the question of whether there is a Cantor set for the crossing points between $`\overline{y}_1`$and $`\overline{y}_2`$is raised. The density $`\rho `$ of such crossing points is calculated for various artificially generated time series with different values of $`H`$. In all the checked cases, $`\rho `$ is independent of the size $`N`$ of the time series and the fractal dimension of the set of crossing points is $`1`$, i.e., the points are homogeneously distributed in time along $`\overline{y}_1`$and $`\overline{y}_2`$. Due to the homogeneous distribution of the crossing points, the forecasting of the crossing points between $`\overline{y}_1`$and $`\overline{y}_2`$is impossible even for self-affine signals $`y(t)`$. However, in the same reference , it is shown that there exists a scaling relation between $`\rho `$ and $`\mathrm{\Delta }T`$, where $`\mathrm{\Delta }T`$is defined as

$$\mathrm{\Delta }T=\frac{T_2T_1}{T_2}.$$
(4)   
With this definition, it is shown that $`\rho `$ scales as

$$\rho \frac{1}{T_2}\left[(\mathrm{\Delta }T)(1\mathrm{\Delta }T)\right]^{H1},$$
(5)   
i.e., for small values of $`\mathrm{\Delta }T`$, $`\rho `$ scales as $`\mathrm{\Delta }T^{H1}`$, while the relation $`\rho (1\mathrm{\Delta }T)^{H1}`$ is valid for $`\mathrm{\Delta }T`$close to $`1`$.

One practical interest of the above relations stems in the easy implementation of an algorithm for measuring $`H`$. We have used the scaling properties of $`\rho `$ in order to estimate the fractal exponent for two time series representing the electrical power demand of two completely different places: Australia, a whole continent, and Mar del Plata a touristic city of Argentina. Data of Australia electrical power demand were obtained at the web site: http://www.tg.nsw.gov.au/sem/   
statistics, while Mar del Plata electrical demand time series was kindly provided by Centro Operativo de Distribucion Mar del Plata belonging to EDEA, a local energy distribution enterprise.

Two time series of 8832 points were taken, as seen in Fig. 1 a) and b). In Fig. 2, the density $`\rho `$ of crossing points as a function of the relative difference $`\mathrm{\Delta }T`$, with $`T_2=100`$, is shown for Australian time series. The slope through the point is $`0.264\pm 0.024`$, which means $`H0.736`$ according to equation 5. In Fig. 3, the density $`\rho `$ of crossing points for the same value of $`T_2`$ is shown for Mar del Plata time series. In this case, the corresponding slope through the point is $`0.218\pm 0.012`$, which means $`H0.782`$. From the exponent $`H`$, the corresponding fractal dimensions $`D_f`$ can be calculated using equation 1. In both cases similar exponents $`H`$ are obtained with approximately the same degree of persistence, although both time series correspond to completely different kind of electrical power consumption, a continent and a touristic city. A more detailed fractal analysis of these time series was recently done by one of us  using wavelets. The wavelet technique of fractal analysis is more powerful than the mobile averages technique, but much more complicated. In  both time series were characterized as multifractals. However, the results reported here for the roughness exponent have a good agreement with the value $`H`$ associated with the maximum of the multifractal spectrum.

FIGURE CAPTIONS

Fig. 1. a) Electrical power demand time series for Australia. b) Electrical power demand time series for Mar del Plata.

Fig. 2 Log-log plot of the density $`\rho `$ of crossing points as a function of the relative difference $`\mathrm{\Delta }T`$, with $`T_2=100`$, for Australian time series. The slope through the point is $`0.264\pm 0.024`$, which means $`H0.736`$.

Fig. 3 Log-log plot of the density $`\rho `$ of crossing points as a function of the relative difference $`\mathrm{\Delta }T`$, with $`T_2=100`$, for Mar del Plata time series. The corresponding slope through the point is $`0.218\pm 0.012`$, which means $`H0.782`$.