Trading network and systemic risk in the energy market

Germán G. Creamer

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

3 Scopus citations

Abstract

This paper evaluates the effect of energy trading networks on the volatility of coal, oil, natural gas, and electricity. This research conducts a longitudinal analysis using a time series of static coal trading networks to generate a dynamic trading network, and uses the component causality index as a leading indicator of systemic risk. This research finds out that the component causality index, based on degree centrality, anticipates or moves together with coal volatility and in less degree with gas and electricity volatility during the period 2007-14. The broad impact of this research lies in the understanding of mechanisms of the instability and risk of the energy sector as a result of a complex interaction of the network of producers and traders.

Original languageEnglish
Title of host publicationIEEE/ACM BESC 2016 - Proceedings of 2016 International Conference on Behavioral, Economic, Socio - Cultural Computing
ISBN (Electronic)9781509061648
DOIs
StatePublished - 3 Jan 2017
EventIEEE/ACM International Conference on Behavioral, Economic, Socio - Cultural Computing, BESC 2016 - Durham, United States
Duration: 11 Nov 201613 Nov 2016

Publication series

NameIEEE/ACM BESC 2016 - Proceedings of 2016 International Conference on Behavioral, Economic, Socio - Cultural Computing

Conference

ConferenceIEEE/ACM International Conference on Behavioral, Economic, Socio - Cultural Computing, BESC 2016
Country/TerritoryUnited States
CityDurham
Period11/11/1613/11/16

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