Application of Option Pricing Framework for Analyzing and Predicting Stock Prices in Energy Markets

2020 ◽  
pp. 39-57
Author(s):  
Victor Alexander Okhuese ◽  
Jane Akinyi Aduda ◽  
Joseph Mung'atu
Keyword(s):  
Option Pricing ◽  
Crude Oil ◽  
Detailed Analysis ◽  
Stock Prices ◽  
Energy Markets ◽  
Energy Market ◽  
Forward Contracts ◽  
West Texas ◽  
Forward Price ◽  
Pricing Framework

In this study, the evaluation of the pricing framework for predicting West Texas Intermediate crude oil stock was implemented where detailed analysis with varying changepoint shows that an arbitrage-free forward price can be derived from the buy-and hold strategy in the energy market thereby enabling investors in the market willing to be salvage from the market uncertainties as well as Arrow-Debreu situations to execute a spot or forward contracts depending on the time and place the market becomes favorable.

scholarly journals Research on Time-Varying Two-Way Spillover Effects Between Carbon and Energy Markets: Empirical Evidence From China

2021 ◽  
Vol 9 ◽  
Author(s):  
Sen Qiao ◽  
Chen Xi Zhao ◽  
Kai Quan Zhang ◽  
Zheng Yu Ren
Keyword(s):  
Crude Oil ◽  
Spillover Effect ◽  
Energy Markets ◽  
Carbon Market ◽  
Energy Market ◽  
Time Varying ◽  
Carbon Markets ◽  
Oil Futures ◽  
New Energy ◽  
Crude Oil Futures

With the improvement of China’s carbon emission trading system, the spillover effect between carbon and energy markets is becoming more and more prominent. This paper selects four representative pilot carbon markets, including Beijing (BEA), Guangdong (GDEA), Hubei (HBEA) and Shanghai (SHEA). And three representative energy markets, including Crude Oil Futures (SC), power index (L11655) and China Securities new energy index (NEI). Combining the rolling window technology with DY spillover index, set a 50-weeks rolling window to measure the spillover index, and deeply analyze the time-varying two-way spillover effect between China’s carbon and energy markets. The results show that the spillover effect between China’s carbon and energy markets has significant time variability and two-way asymmetry. The time-varying spillover effect of different carbon pilot markets on the energy market has regional heterogeneity. The volatility spillover effect of Beijing and Shanghai carbon markets mainly comes from the crude oil futures market, Guangdong carbon market mainly comes from the new energy market, and Hubei carbon market mainly comes from crude oil and electricity market. The above research results contribute to the prevention of potential risk spillover between carbon and energy markets, which can promote the establishment of China’s unified carbon market and the prevention of systemic financial risks in energy market.

scholarly journals An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market

2015 ◽  
Vol 2015 ◽  
pp. 1-17 ◽  
Author(s):  
Luca Di Persio ◽  
Isacco Perin
Keyword(s):  
Stochastic Model ◽  
Detailed Analysis ◽  
Energy Exchange ◽  
Stochastic Approach ◽  
Forward Model ◽  
Energy Market ◽  
Spot Price ◽  
Exchange Market ◽  
Forward Contracts ◽  
Forward Prices

We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed analysis of the probabilistic properties of such model, discussing the related martingale conditions and deriving concrete implementation of it for the related underlying spot price. The latter is obtained from the forward model through a limiting argument. Furthermore, we show, also providing a concrete example, that a proper specification of these models is able to effectively forecast prices of forward contracts written on the European Energy Exchange (EEX) AG, or German Energy Exchange, market.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

scholarly journals Renewable Energy Deployment and COVID-19 Measures for Sustainable Development

2021 ◽  
Vol 13 (8) ◽  
pp. 4418
Author(s):  
Miraj Ahmed Bhuiyan ◽  
Jaehyung An ◽  
Alexey Mikhaylov ◽  
Nikita Moiseev ◽  
Mir Sayed Shah Danish
Keyword(s):  
Renewable Energy ◽  
Short Term Memory ◽  
External Environment ◽  
Energy Markets ◽  
Energy Market ◽  
Short Term ◽  
The United Kingdom ◽  
Long Short Term Memory ◽  
Restrictive Measures ◽  
The Impact

The main goal of this study is to evaluate the impact of restrictive measures introduced in connection with COVID-19 on consumption in renewable energy markets. The study will be based on the hypothesis that similar changes in human behavior can be expected in the future with the further spread of COVID-19 and/or the introduction of additional quarantine measures around the world. The analysis also yielded additional results. The strongest reductions in energy generation occurred in countries with a high percentage (more than 80%) of urban population (Brazil, USA, the United Kingdom and Germany). This study uses two models created with the Keras Long Short-Term Memory (Keras LSTM) Model, and 76 and 10 parameters are involved. This article suggests that various restrictive strategies reduced the sustainable demand for renewable energy and led to a drop in economic growth, slowing the growth of COVID-19 infections in 2020. It is unknown to what extent the observed slowdown in the spread from March 2020 to September 2020 due to the policy’s impact and not the interaction between the virus and the external environment. All renewable energy producers decreased the volume of renewable energy market supply in 2020 (except China).

scholarly journals Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers

Energies ◽  
2021 ◽  
Vol 14 (14) ◽  
pp. 4173
Author(s):  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
Crude Oil ◽  
Predictive Value ◽  
Realized Variance ◽  
International Spillovers ◽  
Forecasting Models ◽  
West Texas ◽  
Out Of Sample ◽  
One Year ◽  
Lasso Estimator

We use a dataset for the group of G7 countries and China to study the out-of-sample predictive value of uncertainty and its international spillovers for the realized variance of crude oil (West Texas Intermediate and Brent) over the sample period from 1996Q1 to 2020Q4. Using the Lasso estimator, we found evidence that uncertainty and international spillovers had predictive value for the realized variance at intermediate (two quarters) and long (one year) forecasting horizons in several of the forecasting models that we studied. This result holds also for upside (good) and downside (bad) variance, and irrespective of whether we used a recursive or a rolling estimation window. Our results have important implications for investors and policymakers.

ASYMMETRIC-STRUCTURE ANALYSIS OF CARBON AND ENERGY MARKETS

Fractals ◽  
2016 ◽  
Vol 24 (01) ◽  
pp. 1650011 ◽  
Author(s):  
WEI XU ◽  
GUANGXI CAO
Keyword(s):  
Cross Correlation ◽  
Market Price ◽  
Energy Markets ◽  
Energy Market ◽  
Asymmetric Structure ◽  
Market Returns ◽  
Time Rate ◽  
Asymmetric Volatility ◽  
Volatility Transmission ◽  
Cross Correlation Analysis

This study aimed to investigate the asymmetric structure between the carbon and energy markets from two aspects of different trends (up or down) and volatility-transmission direction using asymmetric detrended cross-correlation analysis (DCCA) cross-correlation coefficient test, multifractal asymmetric DCCA (MF-ADCCA) method, asymmetric volatility-constrained correlation metric and time rate of information-flow approach. We sampled 1283 observations from January 2008 to December 2012 among pairs of carbon and energy markets for analysis. Empirical results show that the (1) asymmetric characteristic from the cross-correlation between carbon and returns in the energy markets is significant, (2) asymmetric cross-correlation between carbon and energy market price returns is persistent and multifractral and (3) volatility of the base assets of energy market returns is more influential to the base asset of the carbon market than that of the energy market.

scholarly journals PENGARUH NILAI TUKAR DAN HARGA MINYAK MENTAH DUNIA TERHADAP RETURN SAHAM PT. INDOMOBIL SUKSES INTERNASIONAL TBK. DAN PT. ASTRA INTERNASIONAL TBK. TAHUN 2006-2016

2017 ◽  
Vol 1 (2) ◽  
pp. 61
Author(s):  
Arif Fadlilah ◽  
Sri Hermuningsih
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Stock Prices ◽  
Stock Return ◽  
T Test ◽  
Oil Price ◽  
Crude Oils ◽  
Crude Oil Price ◽  
F Test ◽  
Crude Oil Prices

This research is meant to find out the influence of exchange rates and crude oil price either simultaneous or partial to the stock return at PT. Indomobil Sukses Internasional Tbk. and PT Astra Internasional Tbk. The data which is applied in this research is the automotive companies’ stock prices, Rupiah exchange rates, and crude oil price from 2006 to 2016. The multiple linear regressions are applied as the analysis technique by carrying out F test and t test. Based on the F test it is found that simultaneously the rupiah exchange rates and crude oil prices have influence to the stock return. Based on the t test it is found that partially the rupiah exchange rates have no influence to PT. Indomobil Sukses Internasional Tbk stock return but have influence to PT. Astra Internasional Tbk stock return and crude oils prices have influence to stock return. t test indicates the dominant influence to the stock return PT. Indomobil Sukses International Tbk is crude oils variable and stock return PT. Astra International Tbk is exchange rates variable

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