6533b82dfe1ef96bd1290870
RESEARCH PRODUCT
Assessing price clustering in European Carbon Markets
Angel PardoFernando Palaosubject
Financial economicsMechanical Engineeringmedia_common.quotation_subjectBuilding and ConstructionManagement Monitoring Policy and Lawcomputer.software_genreNegotiationGeneral EnergyCarbon marketEconomicsTrading strategyAlgorithmic tradingInefficiencyCluster analysiscomputerPreference (economics)Futures contractmedia_commondescription
Abstract The presence of price clustering in markets is taken as a sign of market inefficiency that can influence trading strategies. In this paper, we study the presence of a concentration in prices in carbon futures markets. Specifically, we analyze the European Carbon Futures Markets and test for evidence of preference for certain prices above others. Our results reveal the strong presence of price clustering in the carbon market at prices ending in digits 0 and 5. These findings support the attraction hypothesis, which endorses a significant clustering on gravitational prices, but also backs the negotiation hypothesis, which advocates greater clustering when trading costs are higher.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2012-04-01 | Applied Energy |