Three-level network analysis of the North American natural gas price: A multiscale perspective

Shuyu Liu, Shupei Huang, Yuxi Chi, Sida Feng, Yang Li and Qingru Sun

International Review of Financial Analysis, 2020, vol. 67, issue C

Abstract: With the US being the largest natural gas producer, the North America formed a mature and leading natural gas market from which emerging markets can learn to develop themselves. It also influences the global market and under various factors, the market presents multiscale characteristics. We explore North American natural gas price, from 1997 to 2018, using wavelet transform and multiscale fluctuation mode network (MFMN) where nodes are a set of fluctuating states extracted from wavelet power and edges are the transmission relationships between the set of states. The multiscale characteristics are analyzed in three levels: macro-network, meso-community and micro-motif. From macroscopic, 131 out of 474 nodes are identified as major contributors of price fluctuation states in the market by weighted out-degree and transmit nodes are identified by betweenness centrality. From mesoscopic, we find that price fluctuation states in the market could be divided into 16 groups and it could be the result of middle- or long-term factors, such as season, weather and policy. From microscopic, 13 directed three-node motifs are detected to present different price fluctuation in continuous short period. And there exist price fluctuation patterns in the market by exploring the community preference for motif containment and motif preference for characters.

Keywords: North American natural gas; Continuous wavelet transform; Network analysis; Community transmission; Motif analysis (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:67:y:2020:i:c:s1057521919302200

DOI: 10.1016/j.irfa.2019.101420

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