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http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/7733| Назва: | Recurrence quantification analysis of energy market crises: a nonlinear approach to risk management |
| Автори: | Bielinskyi, Andrii O. Soloviev, Vladimir N. Solovieva, Viktoria V. Семеріков, Сергій Олексійович Radin, Michael A. Білінський, Андрій Соловйов, Володимир Миколайович Соловйова, Вікторія Володимирівна Радін, Майкл |
| Ключові слова: | energy market recurrence quantification analysis crash detection risk management price dynamics instability abnormal shocks |
| Дата публікації: | 28-сер-2023 |
| Бібліографічний опис: | Bielinskyi A. O. Recurrence quantification analysis of energy market crises: a nonlinear approach to risk management [Electronic resource] / Andrii O. Bielinskyi, Vladimir N. Soloviev, Viktoria V. Solovieva, Serhiy O. Semerikov, Michael A. Radin // Proceedings of the Selected and Revised Papers of 10th International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2-MLPEED 2022). Virtual Event, Kryvyi Rih, Ukraine, November 17-18, 2022 / edited by : Hanna B. Danylchuk, Serhiy O. Semerikov // CEUR Workshop Proceedings. – 2023. – Vol. 3465. – Pp. 110–131. – Access mode: https://ceur-ws.org/Vol-3465/paper14.pdf |
| Короткий огляд (реферат): | The energy market is characterized by unstable price dynamics, which challenge the quantitative models of pricing processes and result in abnormal shocks and crashes. We use recurrence quantification analysis (RQA) to analyze and construct indicators of intermittent events in energy indices, where regular patterns are interrupted by chaotic fluctuations, which could signal the onset of crisis events. We apply RQA to daily data of Henry Hub natural gas spot prices, WTI spot prices, and Europe Brent spot prices. Our empirical results show that the recurrence measures capture the distinctive features of crashes and can be used for effective risk management strategies. |
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| URI (Уніфікований ідентифікатор ресурсу): | https://ceur-ws.org/Vol-3465/paper14.pdf http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/7733 https://doi.org/10.31812/123456789/7733 |
| ISSN: | 1613-0073 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики |
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