2012 Fiscal Year Final Research Report
Research on the surveillance and risk estimation of bubble in the emission-trading market growing rapidly
| Project/Area Number |
22510158
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Tokyo University of Information Sciences |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
SAKURAI Naoko 東京情報大学, 総合情報学部, 教授 (50196127)
YOSHIZAWA Kousuke 東京情報大学, 総合情報学部, 准教授 (50296216)
FUJIWARA Takeshi 東京情報大学, 総合情報学部, 准教授 (60348456)
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| Project Period (FY) |
2010 – 2012
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| Keywords | 排出権取引 / 市場 / 複雑ネットワーク / エネルギー市場 / リスク管理 / 投機市場 |
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| Research Abstract |
The purpose of this research is to perform the surveillance of bubble and estimation of a risk which will be expected in the future CO2 emission-trading market correlated with speculative markets, by clarifying correlation structure between the CO2 emission-trading prices and factors, such as stock prices, money exchange rates, prices of electric power, prices of fossil energy, business, and the weather. Therefore, the following researches were done. From the strength of correlation of each factor time series, a distance was defined, the minimum spanning tree was made, and the correlation structure between these factors was expressed as a network. Next, the size of the time lag was investigated from correlation with the time lag between each factor time series. As a result, it discovered that emission-trading prices had a time lag of about 90 days, and crude oil prices had a time lag of about 30 days, from stock prices. This study was published in Physical Review E (Impact Factor: 2.255). Furthermore, it is carrying out by continuing research of the risk estimation of emission-trading prices using this result. Moreover, various natural disasters occurred during this research. The flood which occurred in Thailand destroyed the computer-related industries, the Great East Japan Earthquake destroyed the automobile-related industries, and the influence spread all over the world. It is thought that the chain of such a crisis is concerned deeply with the bubble. We thought that catching these phenomena from the direction of CO2 emissions contributes to the purpose achievement of this research. So network structure which shows how the CO2 emissions for every industrial classification in Asian countries influence each other was clarified using the Asia international input-output table and Embodied Energy and Emission Intensity Data. The result was presented in International Conference on Business Management& Information System (ICBMIS), and Best Paper Award was granted.
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Research Products
(13 results)
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[Journal Article]2013
Author(s)
Kazuko Yamasaki, Takeshi Fujiwara, Kousuke, Yoshizawa, Shuhei Miyake, Zeyu Zheng, Xiang, Gao, Naoko Sakurai
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Journal Title
Proceedings of 18th International Symposium on Artificial Life and Robotics
Pages: 334-337
Peer Reviewed
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[Journal Article]2012
Author(s)
Kazuko.Yamasaki, Takeshi.Fujiwara, Kousuke.Yoshizawa, Shuhei.Miyake, Zeyu Zheng, Xiang Gao, Naoko.Sakurai
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Journal Title
Proceedings of International Conference on Business Management &Information System
Pages: 213-219
Peer Reviewed
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[Journal Article]2012
Author(s)
X.Gao, T.Fujiwara, N.Sakurai, K.Yoshizawa, S.Miyake, Z.Zheng, K.Yamasaki
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Journal Title
Proceedings of 17th International Symposium on Artificial Life and Robotics
Pages: 346-349
Peer Reviewed
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[Journal Article]2012
Author(s)
Zeyu Zheng, Naoko Sakurai, Takeshi Fujiwara, Kousuke Yoshizawa, Kazuko Yamasaki
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Journal Title
Proceedings of 17th International Symposium on Artificial Life and Robotics
Pages: 350-353
Peer Reviewed
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[Presentation]2012
Author(s)
Zeyu Zheng, Naoko Sakurai, Takeshi Fujiwara, Kousuke Yoshizawa, Kazuko Yamasaki
Organizer
Proceedings of 17th International Symposium on Artificial Life and Robotics
Place of Presentation
Beppu,Japan
Year and Date
20120119-21
