Complexity of carbon market from multi-scale entropy analysis

Xinghua Fan, Shasha Li and Lixin Tian

Physica A: Statistical Mechanics and its Applications, 2016, vol. 452, issue C, 79-85

Abstract: Complexity of carbon market is the consequence of economic dynamics and extreme social political events in global carbon markets. The multi-scale entropy can measure the long-term structures in the daily price return time series. By using multi-scale entropy analysis, we explore the complexity of carbon market and mean reversion trend of daily price return. The logarithmic difference of data Dec16 from August 6, 2010 to May 22, 2015 is selected as the sample. The entropy is higher in small time scale, while lower in large. The dependence of the entropy on the time scale reveals the mean reversion of carbon prices return in the long run. A relatively great fluctuation over some short time period indicates that the complexity of carbon market evolves consistently with economic development track and the events of international climate conferences.

Keywords: Daily price return; Complexity; Multi-scale entropy; Mean reversion; Sample entropy (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:452:y:2016:i:c:p:79-85

DOI: 10.1016/j.physa.2016.01.078

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