论文标题
德国电力衍生产品网络建模的正则化方法
Regularization Approach for Network Modeling of German Power Derivative Market
论文作者
论文摘要
在本文中，我们提出了一种用于德国电力衍生产品网络建模的正规化方法。为了处理大型投资组合，我们将高维变量选择技术与动态网络分析相结合。德国整个电力衍生品市场的估计稀疏相互联系清楚地确定了相关潜在风险溢出的重要渠道。我们的经验发现表明，不同合同类型之间相互依存的重要性，并确定主要风险贡献者。我们进一步观察到邻近合同之间的强烈成对互连，尤其是对于高峰时段的现货合同交易，还讨论了其对监管机构和投资者的影响。德国全部电力衍生产品市场的网络分析有助于我们补充系统风险的全部情况，并更好地了解德国电力市场的运作和环境。
In this paper we propose a regularization approach for network modeling of German power derivative market. To deal with the large portfolio, we combine high-dimensional variable selection techniques with dynamic network analysis. The estimated sparse interconnectedness of the full German power derivative market, clearly identify the significant channels of relevant potential risk spillovers. Our empirical findings show the importance of interdependence between different contract types, and identify the main risk contributors. We further observe strong pairwise interconnections between the neighboring contracts especially for the spot contracts trading in the peak hours, its implications for regulators and investors are also discussed. The network analysis of the full German power derivative market helps us to complement a full picture of system risk, and have a better understanding of the German power market functioning and environment.
