能源市场的交易网络与系统性风险

2016 International Conference on Behavioral, Economic and Socio-cultural Computing (BESC) Pub Date : 2016-11-01 DOI:10.1109/BESC.2016.7804485

Germán G. Creamer

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引用次数: 3

摘要

本文评估了能源交易网络对煤炭、石油、天然气和电力波动性的影响。本研究利用静态煤炭交易网络的时间序列进行纵向分析，生成动态交易网络，并采用成分因果关系指数作为系统性风险的先行指标。研究发现，在2007- 2014年期间，基于度中心性的成分因果指数与煤炭波动同步预测或同步移动，与燃气和电力波动的预测程度较低。这项研究的广泛影响在于了解能源部门不稳定和风险的机制，这是生产者和贸易商网络复杂相互作用的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Trading network and systemic risk in the energy market

This paper evaluates the effect of energy trading networks on the volatility of coal, oil, natural gas, and electricity. This research conducts a longitudinal analysis using a time series of static coal trading networks to generate a dynamic trading network, and uses the component causality index as a leading indicator of systemic risk. This research finds out that the component causality index, based on degree centrality, anticipates or moves together with coal volatility and in less degree with gas and electricity volatility during the period 2007-14. The broad impact of this research lies in the understanding of mechanisms of the instability and risk of the energy sector as a result of a complex interaction of the network of producers and traders.

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2016 International Conference on Behavioral, Economic and Socio-cultural Computing (BESC)

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