Stimulus sensitivity of a spiking neural network model

Some recent papers relate the criticality of complex systems to their maximal capacity of information processing. In the present paper, we consider high dimensional point processes, known as age-dependent Hawkes processes, which have been used to model spiking neural networks. Using mean-field approximation, the response of the network to a stimulus is computed and we provide a notion of stimulus sensitivity. It appears that the maximal sensitivity is achieved in the sub-critical regime, yet almost critical for a range of biologically relevant parameters

Fluctuations for mean-field interacting age-dependent Hawkes processes

The propagation of chaos and associated law of large numbers for mean-field interacting age-dependent Hawkes processes (when the number of processes n goes to +$\infty$) being granted by the study performed in (Chevallier, 2015), the aim of the present paper is to prove the resulting functional central limit theorem. It involves the study of a measure-valued process describing the fluctuations (at scale n --1/2) of the empirical measure of the ages around its limit value. This fluctuation process is proved to converge towards a limit process characterized by a limit system of stochastic differential equations driven by a Gaussian noise instead of Poisson (which occurs for the law of large numbers limit)

A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices

This article investigates the cointegrating and vector autoregressive relationships in CO2 allowances spot and futures prices, valid for compliance under the EU Emissions Trading Scheme (EU ETS). Our empirical analysis yields to reject a cointegrating relationship between CO2 spot and futures prices, when accounting for the presence of a structural break in February 2009 (possibly due to the delayed impact of the ``credit crunch'' crisis). Then, a vector autoregression analysis (complemented by impulse response functions) indicates that futures prices are relevant for price formation in the spot market (while the opposite is not true). Overall, this analysis appears useful to making informed hedging decisions in the banking and finance industries, while allowing regulated utilities to relate futures prices to better forecasts of spot prices.CO2 Price; Cointegration; VAR

EUAs and CERs: Vector Autoregression, Impulse Response Function and Cointegration Analysis

EUAs are European Union Allowances traded on the EU Emissions Trading Scheme (EU ETS), while Certified Emissions Reductions (CERs) arise from the Clean Development Mechanism under the Kyoto Protocol. These emissions assets attract an increasing attention among brokers, investors and operators on emissions markets, because they may be both used for compliance under the EU ETS (up to fixed limits). This paper proposes a statistical analysis of the inter-relationships between EUA and CER price series, by using vector autoregression, impulse response function, and cointegration analysis on daily data from March 9, 2007 to January 14, 2010. The central results show that EUAs and CERs affect each other significantly through the vector autoregression model, and react quite rapidly to shocks on each other through the impulse response function analysis. Most importantly, both price series are found to be cointegrated, with EUAs leading the price discovery process in the long-term through the vector error correction mechanism.EUA, CER, Vector Autoregression, Impulse Response Function, Cointegration, Vector Error Correction Model, EU ETS, Price Discovery.

Carbon Capture and Storage (CCS) Technologies and Economic Investment Opportunities in the UK

This article reviews the role played by carbon and capture (CCS) technologies in order to facilitate the transition to low-carbon emitting technologies in the medium term. More precisely, we address the following central questions: how will the development of CCS technologies impact energy policies in order to yield to sustainable energy solutions? At what costs will pollution reductions be achieved? And most importantly, which CCS technologies will turn out to offer the most effective and efficient solution to handle the challenge of the increased demand for energy within the context of the climate change? We critically assess the technology readiness levels of various CCS technologies – post-combustion capture, pre-combustion capture, amine scrubbing, oxyfuel, integrated gasification combined cycle, calcium looping and chemical looping – based on the best available evidence to date.Carbon Capture and Storage; Technology Readiness; Climate Policy

EUAs and CERs : Interactions in a Markov regime-switching environment.

This paper analyzes jointly the time series of European Union Allowances (EUAs) and Certified Emissions Reductions (CERs) in a Markov regime-switching environment. The purpose consists in capturing the interactions between the two time series - which have been highlighted in previous literature - with respect to the underlying business cycle. Given the recent period of economic growth and financial crisis, regime switching models appear indeed interesting to shed new light on the data. The main result of the paper features a switch from a low-growth period to a high-growth period in July 2009, in a context of timid economic recovery. Besides, the Markov regime-switching model reveals that significant interactions exist between EUAs (during expansions and recessions) and CERs (mostly during expansions). Colletively, these results could be of use to regulatory authorities, academics and financial agents (investment bankers, analysts, asset managers).EUA; CER; Markov regime-switching;

Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis

The European Union Emissions Trading Scheme (EU ETS) is the largest emissions trading scheme to date. This article summarizes the principle elements behind the trading system, and details the carbon price dynamics during Phase II (2008-2012), along with an analysis of traded volumes. The main findings emphasize that the EU ETS is a rapidly growing market, which yields to innovative learning process for all participants involved: policy makers, industrial operators, and financial analysts. Besides, these results shed some light on the usefulness of credit project mechanisms, which may result in the medium-term in integrated ‘world' carbon markets between various regional and/or national ETS.EU ETS; Carbon Price; Phase II; CER ; Spot Price ; Futures Price ; Options Price

Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model.

This article assesses the transmission of international shocks to EUA spot, EUA futures, and CER futures carbon prices using a broad dataset that includes 115 macroeconomic, financial and commodities indicators with daily frequency from April 4, 2008 to January 25, 2010 totalling 463 observations. The framework adopted is a Factor-Augmented Vector Autoregression model with latent factors extracted from the dataset, as proposed by Bernanke et al. (2005). The main results can be summarized as follows. First, based on impulse responses, we show that carbon prices tend to respond negatively (between − 0.2 and − 1.2 standard deviation) to an exogenous shock that reduces global economic indicators by one standard deviation. Second, we find evidence that the responses are heterogeneous among the different kinds of carbon prices: CER futures prices tend to react much more significantly than EUA spot and futures prices. Third, the factors explain about 50% of the total variance of all variables in the dataset. The largest contribution is accounted for by the factor correlated with commodities markets, which explains about 28% of the total variability.Macroeconomics; Carbon price; FAVAR; Factor models; Commodities; Finance;