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CO2 market data analysis
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
会议录名称2015 IEEE International Conference on Cyber Technology in Automation, Control, and Intelligent Systems (CYBER)
出版者IEEE
出版地Piscataway, NJ, USA
2015
页码109-114
收录类别EI ; CPCI(ISTP)
EI收录号20161402187777
WOS记录号WOS:000380502300026
产权排序1
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
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文献类型会议论文
条目标识符http://ir.sia.cn/handle/173321/17359
专题数字工厂研究室
作者单位Shenyang Institute of Automation, Chinese Academy of Sciences, 114 Nanta Street, Shenyang, China
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Zheng ZY. CO2 market data analysis[C]. Piscataway, NJ, USA:IEEE,2015:109-114.
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