This paper uses multifractal theory to make a quantitative description on the complex mechanism of internal electricity price fluctuation in the competitive market， finds that the multifractal characteristic of the electricity price， and analyzes the relationship between the multifractal spectrum and the process of electricity price fluctuation. The calculation results show that the multifractal spectrum can effectively reflect the essence of the electricity price fluctuation， therefore compensate for the inadequacies of the traditional forecasting models under inefficient market environment， which is helpful for administrators to make effective market regulations for risk management.