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题名: CO2 market data analysis
作者: Zheng ZY(郑泽宇)
作者部门: 数字工厂研究室
会议名称: 2015 IEEE International Conference on Cyber Technology in Automation, Control, and Intelligent Systems (CYBER)
会议日期: June 8-12, 2015
会议地点: Shenyang, China
会议录: 2015 IEEE International Conference on Cyber Technology in Automation, Control, and Intelligent Systems (CYBER)
会议录出版者: IEEE
会议录出版地: Piscataway, NJ, USA
出版日期: 2015
页码: 109-114
收录类别: EI ; CPCI(ISTP)
ISSN号: 2379-7711
ISBN号: 978-1-4799-8730-6
摘要: In recent decades, the carbon emission allowances are bought and sold not only by carbon emitters but also by investors. We analyzed the data of price of the European Union allowances (EUA) futures in European Climate Exchange (ECX) market. The symmetric and power-law probability density function of return time series was displayed. We find that two type correlaitons exist, short-range correlations in price changes (return), while long-range correlations in the absolute of price changes (volatility). Further, we applied detrended fluctuation analysis (DFA) approach to deduce the Hurst exponent which may quntify long-range autocorrelations. We observed long-range power-law autocorrelations in the volatility which usually be used as a risk factor. Like the behavior of stock market, the correlation of EUA volatility decay much more slowly than the autocorrelation of returns. We find 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.
语种: 英语
产权排序: 1
WOS记录号: WOS:000380502300026
Citation statistics:
内容类型: 会议论文
URI标识: http://ir.sia.cn/handle/173321/17359
Appears in Collections:数字工厂研究室_会议论文

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Recommended Citation:
Zheng ZY. CO2 market data analysis[C]. 见:2015 IEEE International Conference on Cyber Technology in Automation, Control, and Intelligent Systems (CYBER). Shenyang, China. June 8-12, 2015.
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