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Title of Journal: Artif Life Robotics

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Abbravation: Artificial Life and Robotics

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Springer Japan

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DOI

10.1007/s00256-013-1655-y

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ISSN

1614-7456

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Correlation and hierarchies in financial markets

Authors: Zeyu Zheng Naoko Sakurai Takeshi Fujiwara Kousuke Yoshizawa Kazuko Yamasaki
Publish Date: 2012/08/09
Volume: 17, Issue: 1, Pages: 136-139
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Abstract

As an emerging financial market the trading value of carbon emission trading market has definitely increased in recent years The carbon emission is not only trading in carbon emitters but also has become an important investment target To determine the mechanism of this growing market we analyzed the EU allowances EUA price series in European Climate Exchange ECX that is the leading European emissions futures market As other financial market the absolute value of price change volatility in carbon emission trading market also shows longterm powerlaw correlations Our analysis shows that definite cross correlations exist between EUA and many other markets These cross correlations exist in wildrange fields stock market index futures of crude sugar cocoa etc suggesting that in this new carbon emission trading market the speculation behavior had already become a main factor that can affect the price change


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