Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis

This paper deals with the modeling of the relationship of European Union Allowance spot- and futures-prices within the second commitment period of the European Union Emission Trading Scheme. Based on high frequency data, we analyze causality in the first and the second conditional moments. To reveal long run price discovery we compute the common factor weights proposed by Schwarz and Szakmary (1994) and the information share proposed by Hasbrouck (1995) based on the estimated coefficients of a vector error correction model. To analyze the short run dynamics we perform Granger causalty tests. The GARCH-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest frequencies

The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of EUA prices to the European Commission's decisions on second National Allocation Plans (NAPs) is not instantaneous, but takes up to six hours after the decision announcement. --EU ETS,price formation,European Union Allowance (EUA),European Commission

Modeling and explaining the dynamics of European Union allowance prices at high-frequency

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process. The decisions of the European Commission on second National Allocation Plans have a strong and immediate impact on EUA prices. On the other hand, our results suggest that EUA prices are only weakly connected to indicators about the future economic development as well as the current economic activity. --EU ETS,EUA,Announcement Effects,Price Formation,Long Memory

Agnostic Multi-Group Active Learning

Inspired by the problem of improving classification accuracy on rare or hard subsets of a population, there has been recent interest in models of learning where the goal is to generalize to a collection of distributions, each representing a ``group''. We consider a variant of this problem from the perspective of active learning, where the learner is endowed with the power to decide which examples are labeled from each distribution in the collection, and the goal is to minimize the number of label queries while maintaining PAC-learning guarantees. Our main challenge is that standard active learning techniques such as disagreement-based active learning do not directly apply to the multi-group learning objective. We modify existing algorithms to provide a consistent active learning algorithm for an agnostic formulation of multi-group learning, which given a collection of $G$ distributions and a hypothesis class $\mathcal{H}$ with VC-dimension $d$, outputs an $\epsilon$-optimal hypothesis using $\tilde{O}\left( (\nu^2/\epsilon^2+1) G d \theta_{\mathcal{G}}^2 \log^2(1/\epsilon) + G\log(1/\epsilon)/\epsilon^2 \right)$ label queries, where $\theta_{\mathcal{G}}$ is the worst-case disagreement coefficient over the collection. Roughly speaking, this guarantee improves upon the label complexity of standard multi-group learning in regimes where disagreement-based active learning algorithms may be expected to succeed, and the number of groups is not too large. We also consider the special case where each distribution in the collection is individually realizable with respect to $\mathcal{H}$, and demonstrate $\tilde{O}\left( G d \theta_{\mathcal{G}} \log(1/\epsilon) \right)$ label queries are sufficient for learning in this case. We further give an approximation result for the full agnostic case inspired by the group realizable strategy

A Two-Stage Active Learning Algorithm for kk-Nearest Neighbors

We introduce a simple and intuitive two-stage active learning algorithm for the training of $k$-nearest neighbors classifiers. We provide consistency guarantees for a modified $k$-nearest neighbors classifier trained on samples acquired via our scheme, and show that when the conditional probability function $\mathbb{P}(Y=y|X=x)$ is sufficiently smooth and the Tsybakov noise condition holds, our actively trained classifiers converge to the Bayes optimal classifier at a faster asymptotic rate than passively trained $k$-nearest neighbor classifiers

Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process. The decisions of the European Commission on second National Allocation Plans have a strong and immediate impact on EUA prices. On the other hand, our results suggest that EUA prices are only weakly connected to indicators about the future economic development as well as the current economic activity

The European Commission and EUA prices : a high-frequency analysis of the EC's decisions on second NAPs

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of EUA prices to the European Commission’s decisions on second National Allocation Plans (NAPs) is not instantaneous, but takes up to six hours after the decision announcement

On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables which contain information on current and future economic activity are helpful predictors for changes in the oil-stock correlation. For the period 1993-2011 there is strong evidence for a counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above trend our model predicts a negative long-term correlation, while before and during recessions the sign changes and remains positive throughout the economic recovery. Our results strongly suggest that crude oil prices cannot be viewed as being exogenous with respect to the U.S. macroeconomy and explain the controversial results concerning the oil-stock relationship in previous studies

Italian and German influences on the origins of Argentine socialism. Enrico Ferri and Karl Kautsky in the pages of Vorwärts and La Vanguardia (1894-1895)

Este artículo analiza el rol que jugó la traducción, publicación y difusión del libro Socialismo y ciencia positiva, de Enrico Ferri, en el proceso de definiciones programáticas del naciente socialismo argentino, a mediados de la década de 1890. Con ese fin, examina un aspecto hasta ahora inexplorado: las diferencias que surgieron entre los editores de La Vanguardia, abiertamente favorables a las interpretaciones de Ferri, y los del Vorwärts, el periódico en idioma alemán que había sido pionero del socialismo local. El artículo revela que la discusión argentina replicaba en buena medida intercambios que tenían lugar en Europa, a partir de los señalamientos críticos hechos por Karl Kautsky al trabajo de Ferri desde las páginas de Die Neue Zeit.This paper analyzes the role of Enrico Ferri’s book, Socialism and Positive Science, in the process of programmatic definitions that shaped Argentine Socialism in the mid-1890s. In so doing, it addresses an aspect until now unexplored: the differences that emerged between the editors of La Vanguardia, openly favorable to Ferri’s interpretations, and those of the Vorwärts, the German-language newspaper that had pioneered local socialism. The article reveals that the Argentine discussion largely replicated exchanges taking place in Europe, after a critical review of Ferri’s book published by Karl Kautsky in Die Neue Zeit.Fil: Poy Piñeiro, Lucas Martín. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto de Historia Argentina y Americana "Dr. Emilio Ravignani". Universidad de Buenos Aires. Facultad de Filosofía y Letras. Instituto de Historia Argentina y Americana "Dr. Emilio Ravignani"; ArgentinaFil: González Rittler, Esteban. Universidad de Buenos Aires. Facultad de Filosofía y Letras; Argentin