dc.contributor.author | Lamphiere, Marc | |
dc.contributor.author | Blackledge, Jonathan | |
dc.contributor.author | Kearney, Derek | |
dc.date.accessioned | 2021-10-18T12:33:07Z | |
dc.date.available | 2021-10-18T12:33:07Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Lamphiere, M. et al. (2021). Carbon futures trading and short-term price prediction: An analysis using the fractal market hypothesis and evolutionary computing. Mathematics, 9(9). https://doi.org/10.3390/math9091005 | en_US |
dc.identifier.issn | 2227-7390 | |
dc.identifier.uri | https://doi.org/10.3390/math9091005 | |
dc.identifier.uri | http://hdl.handle.net/10566/6926 | |
dc.description.abstract | This paper presents trend prediction results based on backtesting of the European Union
Emissions Trading Scheme futures market. This is based on the Intercontinental Exchange from 2005
to 2019. An alternative trend prediction strategy is taken that is predicated on an application of the
Fractal Market Hypothesis (FMH) in order to develop an indicator that is predictive of short term
future behaviour. To achieve this, we consider that a change in the polarity of the Lyapunov-toVolatility Ratio precedes an associated change in the trend of the European Union Allowances (EUAs)
price signal. The application of the FMH in this case is demonstrated to provide a useful tool in order
to assess the likelihood of the market becoming bear or bull dominant, thereby helping to inform
carbon trading investment decisions. Under specific conditions, Evolutionary Computing methods
are utilised in order to optimise specific trading execution points within a trend and improve the
potential profitability of trading returns. Although the approach may well be of value for general
energy commodity futures trading (and indeed the wider financial and commodity derivative
markets), this paper presents the application of an investment indicator for EUA carbon futures risk
modelling and investment trend analysis only. | en_US |
dc.language.iso | en_US | en_US |
dc.publisher | MPDI | en_US |
dc.subject | Carbon trading | en_US |
dc.subject | European Union Emissions Trading Scheme | en_US |
dc.subject | Evolutionary computing | en_US |
dc.subject | Future price prediction | en_US |
dc.subject | Fractal market hypothesis | en_US |
dc.title | Carbon futures trading and short-term price prediction: An analysis using the fractal market hypothesis and evolutionary computing | en_US |
dc.type | Article | en_US |