Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition

Cao Guangxi and Wei Xu

Chaos, Solitons & Fractals, 2016, vol. 83, issue C, 212-222

Abstract: Basing on daily price data of carbon emission rights in futures markets of Certified Emission Reduction (CER) and European Union Allowances (EUA), we analyze the multiscale characteristics of the markets by using empirical mode decomposition (EMD) and multifractal detrended fluctuation analysis (MFDFA) based on EMD. The complexity of the daily returns of CER and EUA futures markets changes with multiple time scales and multilayered features. The two markets also exhibit clear multifractal characteristics and long-range correlation. We employ shuffle and surrogate approaches to analyze the origins of multifractality. The long-range correlations and fat-tail distributions significantly contribute to multifractality. Furthermore, we analyze the influence of high returns on multifractality by using threshold method. The multifractality of the two futures markets is related to the presence of high values of returns in the price series.

Keywords: Carbon trading; Futures markets; EMD; MFDFA-EMD (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:83:y:2016:i:c:p:212-222

DOI: 10.1016/j.chaos.2015.12.010

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