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Statistical regularities of Carbon emission trading market: Evidence from European Union allowances
Zheng ZY(郑泽宇); Xiao R(肖睿); Shi HB(史海波); Li GH(李贵红); Zhou XF(周晓锋)
作者部门数字工厂研究室
关键词European Union Allowances Volatility Detrended Fluctuation Analysis Cross Correlations Long-range Correlation
发表期刊Physica A: Statistical Mechanics and its Applications
ISSN0378-4371
2015
卷号426页码:9-15
收录类别SCI ; EI
EI收录号20150800556784
WOS记录号WOS:000351963600002
产权排序1
摘要As an emerging financial market, the trading value of carbon emission trading market has definitely increased. In recent years, the carbon emission allowances have already become a way of investment. They are bought and sold not only by carbon emitters but also by investors. In this paper, we analyzed the price fluctuations of the European Union allowances (EUA) futures in European Climate Exchange (ECX) market from 2007 to 2011. The symmetric and power-law probability density function of return time series was displayed. We found that there are only short-range correlations in price changes (return), while long-range correlations in the absolute of price changes (volatility). Further, detrended fluctuation analysis (DFA) approach was applied with focus on long-range autocorrelations and Hurst exponent. We observed long-range power-law autocorrelations in the volatility that quantify risk, and found that they decay much more slowly than the autocorrelation of return time series. Our analysis also showed that the significant cross correlations exist between return time series of EUA and many other returns. These cross correlations exist in a wide range of fields, including stock markets, energy concerned commodities futures, and financial futures. The significant cross-correlations between energy concerned futures and EUA indicate the physical relationship between carbon emission and energy production process. Additionally, the cross-correlations between financial futures and EUA indicate that the speculation behavior may become an important factor that can affect the price of EUA. Finally we modeled the long-range volatility time series of EUA with a particular version of the GARCH process, and the result also suggests long-range volatility autocorrelations. © 2015 Elsevier B.V.
语种英语
WOS标题词Science & Technology ; Physical Sciences
WOS类目Physics, Multidisciplinary
关键词[WOS]DETRENDED FLUCTUATION ANALYSIS ; CROSS-CORRELATIONS ; PRICES
WOS研究方向Physics
引用统计
文献类型期刊论文
条目标识符http://ir.sia.cn/handle/173321/15730
专题数字工厂研究室
通讯作者Zheng ZY(郑泽宇)
作者单位1.Shenyang Institute of Automation, Chinese Academy of Sciences, Shenyang, China
2.Key Laboratory of Network Control System, Chinese Academy of Sciences, Shenyang, China
3.Department of Biostatistics and Epidemiology, University of Pennsylvania Perelman School of Medicine, Philadelphia, PA, United States
4.Liaoning Province Information Center, Shenyang, China
推荐引用方式
GB/T 7714
Zheng ZY,Xiao R,Shi HB,et al. Statistical regularities of Carbon emission trading market: Evidence from European Union allowances[J]. Physica A: Statistical Mechanics and its Applications,2015,426:9-15.
APA Zheng ZY,Xiao R,Shi HB,Li GH,&Zhou XF.(2015).Statistical regularities of Carbon emission trading market: Evidence from European Union allowances.Physica A: Statistical Mechanics and its Applications,426,9-15.
MLA Zheng ZY,et al."Statistical regularities of Carbon emission trading market: Evidence from European Union allowances".Physica A: Statistical Mechanics and its Applications 426(2015):9-15.
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