Recurrence Measures of Complexity in Energy Market Dynamics

Andrii Bielinskyi, Andrii Bielinskyi, Vladimir Soloviev, Vladimir Soloviev, Viktoria Solovieva, Serhiy Semerikov, Serhiy Semerikov, Serhiy Semerikov, Michael Radin

2022

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.

Paper Citation

in Harvard Style

Bielinskyi A., Soloviev V., Solovieva V., Semerikov S. and Radin M. (2022). Recurrence Measures of Complexity in Energy Market Dynamics. In Proceedings of 10th International Conference on Monitoring, Modeling & Management of Emergent Economy - Volume 1: M3E2; ISBN 978-989-758-640-8, SciTePress, pages 122-133. DOI: 10.5220/0011931800003432

in Bibtex Style

@conference{m3e222,
author={Andrii Bielinskyi and Vladimir Soloviev and Viktoria Solovieva and Serhiy Semerikov and Michael Radin},
title={Recurrence Measures of Complexity in Energy Market Dynamics},
booktitle={Proceedings of 10th International Conference on Monitoring, Modeling & Management of Emergent Economy - Volume 1: M3E2},
year={2022},
pages={122-133},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011931800003432},
isbn={978-989-758-640-8},
}

in EndNote Style

TY - CONF

JO - Proceedings of 10th International Conference on Monitoring, Modeling & Management of Emergent Economy - Volume 1: M3E2
TI - Recurrence Measures of Complexity in Energy Market Dynamics
SN - 978-989-758-640-8
AU - Bielinskyi A.
AU - Soloviev V.
AU - Solovieva V.
AU - Semerikov S.
AU - Radin M.
PY - 2022
SP - 122
EP - 133
DO - 10.5220/0011931800003432
PB - SciTePress