不确定环境下的中国碳排放配额价格预测与期权设计

IF 4.8 2区 计算机科学 Q1 COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE
Lifen Jia, Linya Zhang, Wei Chen
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引用次数: 0

摘要

碳排放权交易对于推进中国的低碳目标至关重要。作为碳市场的主要交易资产,碳排放配额不可避免地会出现价格波动。然而,大量实证研究表明,真实世界的数据频率极不稳定,导致概率模型无法建立。因此,本文旨在利用四个主流不确定微分方程建立中国碳排放配额价格动态模型。通过滚动窗口交叉验证,以平均测试误差最小为准则,选择最优模型。通过基于残差的矩估计确定最优模型的参数,并通过不确定的双侧假设检验评估模型的有效性。此外,我们还预测了未来 14 个工作日的碳排放配额价格及其 95% 的置信区间。为了管理交易风险,我们提出了一种定制的碳期权合约,用于为欧洲碳期权定价,并对关键参数进行了敏感性分析。最后,我们提出了一个用于模拟碳排放配额价格的随机微分方程悖论。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

China’s carbon emission allowance prices forecasting and option designing in uncertain environment

China’s carbon emission allowance prices forecasting and option designing in uncertain environment

Carbon emissions trading is pivotal for advancing China’s low-carbon goals. As the primary tradable asset in the carbon market, carbon emission allowances inevitably experience price fluctuations. However, numerous empirical studies show that the frequency of real-world data is highly unstable, which results in the failure of probabilistic modeling. Therefore, this paper aims to model the dynamics of carbon emission allowance prices in China using four mainstream uncertain differential equations. The optimal model is chosen through rolling window cross-validation using the criterion of minimizing average testing errors. Parameters of the optimal model are determined by moment estimation based on residuals, and the model’s effectiveness is also assessed through uncertain two-sided hypothesis testing. Additionally, we forecast carbon emission allowance prices and their 95% confidence intervals for the next 14 business days. To manage trading risks, we propose a customized carbon option contract for pricing European carbon options and conduct sensitivity analysis on key parameters. Finally, we present a paradox of stochastic differential equations for modeling carbon emission allowance prices.

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来源期刊
Fuzzy Optimization and Decision Making
Fuzzy Optimization and Decision Making 工程技术-计算机:人工智能
CiteScore
11.50
自引率
10.60%
发文量
27
审稿时长
6 months
期刊介绍: The key objective of Fuzzy Optimization and Decision Making is to promote research and the development of fuzzy technology and soft-computing methodologies to enhance our ability to address complicated optimization and decision making problems involving non-probabilitic uncertainty. The journal will cover all aspects of employing fuzzy technologies to see optimal solutions and assist in making the best possible decisions. It will provide a global forum for advancing the state-of-the-art theory and practice of fuzzy optimization and decision making in the presence of uncertainty. Any theoretical, empirical, and experimental work related to fuzzy modeling and associated mathematics, solution methods, and systems is welcome. The goal is to help foster the understanding, development, and practice of fuzzy technologies for solving economic, engineering, management, and societal problems. The journal will provide a forum for authors and readers in the fields of business, economics, engineering, mathematics, management science, operations research, and systems.
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