碳价格
溢出效应
人工神经网络
金融市场
算法交易
计算机科学
财务风险
计量经济学
业务
气候变化
金融经济学
经济
财务
微观经济学
人工智能
生物
生态学
作者
Jiaolian Luo,Wuyang Zhuo,Baoyou Xu
标识
DOI:10.1142/s0218126624501536
摘要
The price of carbon emission rights in the market fluctuates greatly due to various factors from economy, finance, and climate. For an enterprise that needs to conduct carbon trading activities, it is extremely necessary to fully grasp the price of carbon trading in the future period. Thus in this paper, a deep neural network-based assistive decision model for financial risk prediction in carbon trading market is proposed for this purpose. Specifically, the dynamic risk spillover effects of domestic and international carbon trading markets are studied, and a frontier time-varying model is utilized to measure the risk spillover effects. Then, the deep neural network is used for quantitative research and to construct an intelligent decision scheme that outputs financial risk prediction results. Four perspectives, energy price, climate environment, carbon market price, and macroeconomics, are selected as the input to analyze the influence factors of carbon emission rights price. Finally, several linear regression models are adopted as the baseline methods for comparison, and experimental results show that the proposed method can achieve better prediction performance compared with baseline methods.
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