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Complexity of carbon market from multi-scale entropy analysis

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  • Fan, Xinghua
  • Li, Shasha
  • Tian, Lixin

Abstract

Complexity of carbon market is the consequence of economic dynamics and extreme social political events in global carbon markets. The multi-scale entropy can measure the long-term structures in the daily price return time series. By using multi-scale entropy analysis, we explore the complexity of carbon market and mean reversion trend of daily price return. The logarithmic difference of data Dec16 from August 6, 2010 to May 22, 2015 is selected as the sample. The entropy is higher in small time scale, while lower in large. The dependence of the entropy on the time scale reveals the mean reversion of carbon prices return in the long run. A relatively great fluctuation over some short time period indicates that the complexity of carbon market evolves consistently with economic development track and the events of international climate conferences.

Suggested Citation

  • Fan, Xinghua & Li, Shasha & Tian, Lixin, 2016. "Complexity of carbon market from multi-scale entropy analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 79-85.
    • Handle: RePEc:eee:phsmap:v:452:y:2016:i:c:p:79-85
    DOI: 10.1016/j.physa.2016.01.078
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    Cited by:

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    2. Xin Su & Shengsen Duan & Shubing Guo & Haolong Liu, 2018. "Evolutionary Games in the Agricultural Product Quality and Safety Information System: A Multiagent Simulation Approach," Complexity, Hindawi, vol. 2018, pages 1-13, March.
    3. Liu, Jian & Jiang, Ting & Ye, Ze, 2021. "Information efficiency research of China's carbon markets," Finance Research Letters, Elsevier, vol. 38(C).
    4. Zhu, Bangzhu & Huang, Liqing & Yuan, Lili & Ye, Shunxin & Wang, Ping, 2020. "Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 163-175.
    5. Chen, Weidong & Xiong, Shi & Chen, Quanyu, 2022. "Characterizing the dynamic evolutionary behavior of multivariate price movement fluctuation in the carbon-fuel energy markets system from complex network perspective," Energy, Elsevier, vol. 239(PA).

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