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Pregled bibliografske jedinice broj: 1062763

Forecast of long‐term EUA price probability using momentum strategy and GBM simulation


Vulin, Domagoj; Arnaut, Maja; Karasalihović Sedlar, Daria
Forecast of long‐term EUA price probability using momentum strategy and GBM simulation // Greenhouse Gases-Science and Technology, 10 (2020), 230-248 doi:10.1002/ghg.1957 (međunarodna recenzija, članak, znanstveni)


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Naslov
Forecast of long‐term EUA price probability using momentum strategy and GBM simulation

Autori
Vulin, Domagoj ; Arnaut, Maja ; Karasalihović Sedlar, Daria

Izvornik
Greenhouse Gases-Science and Technology (2152-3878) 10 (2020); 230-248

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
CCS ; CO2price volatility ; energy price ; EUA market ; geometric Brownian motion ; momentum strategy

Sažetak
CO2storage projects are nancially intensive and, without the European Union emissiontrading scheme that encourages CO2emission reduction projects, they will not be cost effective, thatis, feasible. Similar to the huge uncertainties involved in long-term energy price prediction, CO2marketprice is volatile. In this paper, indicators for key CO2price changes are detected by moving averageanalysis. To prove the validity of the methods, geometric Brownian motion (GBM) simulations wereperformed for different drift and volatility values. Drift, the standard deviation of CO2price changes andCO2volatility were used on a daily, weekly and monthly basis for short term simulations and on aweekly basis for long term simulations. GBM simulation can help determine the probability of aEuropean emission allowances (EUA) price, which is featured by great variations, depending on theperiod. Signals for periods were determined by momentum strategy, with 60 days for short and 365days for the long moving average. They show correlation with natural gas prices, that is, EUA signalsappear 13–17 months after the signal in natural gas price. Among the vast number of proposed hybridprediction models, this correlation allows the prediction of a long- term price trend. It seems thatback-loading measures obstructed risk estimates because they resulted in extreme price drift in someperiods, as the consequence of rebalancing in supply and demand.

Izvorni jezik
Engleski

Znanstvena područja
Rudarstvo, nafta i geološko inženjerstvo

Napomena
Glavni autor: Vulin, D.



POVEZANOST RADA


Projekti:
HRZZ–Hrvatska zaklada za znanost
PKP-2016-06-6917 - Evaluacijski sustav za ublažavanje CO2 (ESCOM) (Vulin, Domagoj, HRZZ - 2016-06) ( POIROT)

Ustanove:
Rudarsko-geološko-naftni fakultet, Zagreb

Citiraj ovu publikaciju

Vulin, Domagoj; Arnaut, Maja; Karasalihović Sedlar, Daria
Forecast of long‐term EUA price probability using momentum strategy and GBM simulation // Greenhouse Gases-Science and Technology, 10 (2020), 230-248 doi:10.1002/ghg.1957 (međunarodna recenzija, članak, znanstveni)
Vulin, D., Arnaut, M. & Karasalihović Sedlar, D. (2020) Forecast of long‐term EUA price probability using momentum strategy and GBM simulation. Greenhouse Gases-Science and Technology, 10, 230-248 doi:10.1002/ghg.1957.
@article{article, year = {2020}, pages = {230-248}, DOI = {10.1002/ghg.1957}, keywords = {CCS, CO2price volatility, energy price, EUA market, geometric Brownian motion, momentum strategy}, journal = {Greenhouse Gases-Science and Technology}, doi = {10.1002/ghg.1957}, volume = {10}, issn = {2152-3878}, title = {Forecast of long‐term EUA price probability using momentum strategy and GBM simulation}, keyword = {CCS, CO2price volatility, energy price, EUA market, geometric Brownian motion, momentum strategy} }
@article{article, year = {2020}, pages = {230-248}, DOI = {10.1002/ghg.1957}, keywords = {CCS, CO2price volatility, energy price, EUA market, geometric Brownian motion, momentum strategy}, journal = {Greenhouse Gases-Science and Technology}, doi = {10.1002/ghg.1957}, volume = {10}, issn = {2152-3878}, title = {Forecast of long‐term EUA price probability using momentum strategy and GBM simulation}, keyword = {CCS, CO2price volatility, energy price, EUA market, geometric Brownian motion, momentum strategy} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus


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