Short-term modeling of carbon price based on fuel and energy determinants in EU ETS
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preprint_Rudnik.pdf (3.17 MB)
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0000-0002-0653-6610 Date
2023-07-07
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Elsevier
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Abstract
Accurate price forecasts on the European Union Emissions Trading System (EU ETS) market are of interest to many production and investment entities. The article presents a new approach, which models the most significant determinants by the use of a rule-based model containing facts written in the form of ordered fuzzy numbers, as the description of trends of imprecise values of prices. This approach allows for a qualitative analysis of potential values and directions of EU allowance (EUA) price changes and their trends along with the probability of their occurrence in the future. Article presents a wide set of factors used for the analysis of EUA price conditions and the comparison of the results of various feature selection methods (Hellwig’s method, F-test, Neighborhood Component Feature Selection method, RreliefF method). Another scientific value added to the presented research results is a new approach to modeling an influence of the significant determinants for a dayahead prediction CO2 price in the form of fuzzy rules which contain additional information about the tendencies of value changes. Thanks to a comprehensive approach, improvements to existing methods, and proprietary models, additional information was obtained about the tendencies of EUA price level changes.
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Katarzyna Rudnik, Anna Hnydiuk-Stefan, Zhixiong Li, Zhenjun Ma, Short-term modeling of carbon price based on fuel and energy determinants in EU ETS, Journal of Cleaner Production, Volume 417, 2023, 137970, ISSN 0959-6526, https://doi.org/10.1016/j.jclepro.2023.137970.