Recurrence Measures of Complexity in Energy Market Dynamics

- Bielinskyi, Andrii (orcid.org/0000-0002-2821-2895), Soloviev, V.N. (orcid.org/0000-0002-4945-202X), Solovieva, Victoria (orcid.org/0000-0002-8090-9569), Semerikov, Serhiy O. (orcid.org/0000-0003-0789-0272) and Radin, Michael (orcid.org/0000-0001-9951-7955) (2023) Recurrence Measures of Complexity in Energy Market Dynamics Proceedings of 10th International Conference on Monitoring, Modeling & Management of Emergent Economy – M3E2. Odessa – Ukraine. November 17 - 18, 2022. pp. 122-133. ISSN 2975-9234

Text M3E2_2022-133-144.pdf - Published Version Download (10MB)

Abstract

The instability of the price dynamics of the energy market from a theoretical point of view indicates the inadequacy of the dominant paradigm of the quantitative description of pricing processes, and from a practical point of view, it leads to abnormal shocks and crashes. Through the recurrence quantification analysis, we analyze and construct indicators of intermittent events in energy indices, where periods of regular behavior are replaced by periods of chaotic behavior, which could explain the emergence of crisis events. For further analysis, we have chosen daily data of Henry Hub natural gas spot prices, WTI spot prices, and Europe Brent spot prices. Our empirical results present that all of the presented recurrence measures respond in a particular way during crashes and can be effectively implemented for risk management strategies.

Item Type:	Article
Keywords:	Crude Oil, Natural Gas, Recurrence Plot, Recurrence Quantification Analysis, Crash, Indicator-Precursor
Subjects:	Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 3 Social Sciences > 33 Economics. Economic science
Divisions:	Institute for Digitalisation of Education > Department of the Cloud-Вased Systems of ICT in Education
Depositing User:	Сергій Олексійович Семеріков
Date Deposited:	03 Jul 2023 13:31
Last Modified:	03 Jul 2023 13:31
URI:	https://lib.iitta.gov.ua/id/eprint/736015

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