The Synchronization And Correlation Analysis Of Carbon Market Based On Multi-scale Entropy

Carbon emissions trading is an emission reduction mechanism that adopts market measures in response to global warming.Since energy prices and carbon prices affect each other in a complex way,analyzing the correlation between the carbon market and the energy market can provide valuable information and suggestions for participants in the two markets,so it is particularly important to study the relationship between the two.Entropy is a measure of system complexity.This article uses multi-scale sample entropy,cross-sample entropy,fuzzy entropy and transfer entropy to study the complexity,synchronization,correlation and causality of the carbon market and energy market.China's energy structure is dominated by coal,so this article uses China's pilot carbon market and coal market as samples to study the complexity and synchronization between the markets.First,this paper calculates the multi-scale entropy of the carbon price series and the coal price index series,and then,based on the difference in multi-scale entropy values,determines that 2015 is a critical year.Then,this paper uses cross-sample entropy to analyze the synchronization between the two markets in a specific time frame and finds that there is a certain synchronization between China's carbon and coal markets.From the perspective of time scale,this article has determined that the scale ? = 20(about one month)is the critical point of synchronous change.When the time scale exceeds the critical point(more than one month),there is synchronization between the carbon market and the coal market.But in the scale below the critical point(less than one month),market synchronization is weak.Time evolution analysis and sliding window technology verify that the synchronization in 2015 is low.From the perspective of multi-scale dynamic analysis,the impact of the carbon market on the coal market depends on the policy orientation,and the duration is about one month.The research in this article shows that the carbon market needs more flexible regulation to improve synchronization.Since it takes time to respond to complex changes between markets,this article studies the correlation and causality under time delays.First of all,this paper uses fuzzy entropy to measure the complexity of the carbon and coal market,which is less complex than the energy market.The short-term volatility of the market is greater than the long-term volatility.Then,this paper uses the Pearson correlation coefficient to determine that when the time delay is 50,there is the closest correlation between carbon and energy markets.In addition,this study also uses the detrended cross-correlation coefficient to verify the effectiveness of 50 time lags.Finally,this article uses transfer entropy to study the causal relationship between markets.The results show that the future carbon market will affect oil and gas,and there is a causal relationship between carbon and the coal market.The reform of the energy structure will change the causal relationship between carbon and electricity,and the development of new energy will have a long-term impact on the carbon market.The results of this article can provide valuable references for investors and policy makers.