Recurrence quantification analysis of energy market crises: a nonlinear approach to risk management
Andrii O. Bielinskyi,
, Vladimir N. Soloviev,
Viktoria V. Solovieva
et al.
Abstract:The energy market is characterized by unstable price dynamics, which challenge the quantitative models of pricing processes and result in abnormal shocks and crashes. We use recurrence quantification analysis(RQA) to analyze and construct indicators of intermittent events in energy indices, where regular patterns are interrupted by chaotic fluctuations, which could signal the onset of crisis events. We apply RQA to daily data of Henry Hub natural gas spot prices, WTI spot prices, and Europe Brent spot prices. … Show more
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