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Recurrence Measures of Complexity in Energy Market Dynamics

Bielinskyi, Andrii O.; Soloviev, Vladimir N.; Solovieva, Viktoria V.; Семеріков, Сергій Олексійович; Radin, Michael; Соловйов, Володимир Миколайович

URI: https://doi.org/10.5220/0011931800003432
https://www.scitepress.org/Link.aspx?doi=10.5220/0011931800003432
http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/7410

Date: 2023-05-27

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.

Description:

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