Trading Network and Systemic Risk in the Energy Market

2016 International Conference on Behavioral, Economic and Socio-cultural Computing (BESC), Durham, NC, 2016: 1-6.

6 Pages Posted: 8 Feb 2019

See all articles by Germán G. Creamer

Germán G. Creamer

Stevens Institute of Technology, School of Business; Columbia University - Department of Computer Science

Date Written: November 11, 2016

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.

Keywords: causality, coal, power markets, risk analysis, time series

JEL Classification: C01, C14, C22, C38, Q47, D85, G32

Suggested Citation

Creamer, Germán G., Trading Network and Systemic Risk in the Energy Market (November 11, 2016). 2016 International Conference on Behavioral, Economic and Socio-cultural Computing (BESC), Durham, NC, 2016: 1-6., Available at SSRN: https://ssrn.com/abstract=3323162

Germán G. Creamer (Contact Author)

Stevens Institute of Technology, School of Business ( email )

1 Castle Point on Hudson
Hoboken, NJ 07030
United States
2012168986 (Phone)

HOME PAGE: http://www.creamer-co.com

Columbia University - Department of Computer Science ( email )

New York, NY 10027
United States

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