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Probabilistic carbon price prediction with quantile temporal convolutional network considering uncertain factors.
- Source :
-
Journal of Environmental Management . Sep2023, Vol. 342, pN.PAG-N.PAG. 1p. - Publication Year :
- 2023
-
Abstract
- Accurate carbon price projections can serve as valuable investment guides and risk warnings for carbon trading participants. However, the escalation of uncertain factors has brought numerous new hurdles to existing carbon price forecast methods. In this paper, we develop a novel probabilistic forecast model called quantile temporal convolutional network (QTCN) that can precisely describe the uncertain fluctuation of carbon prices. We also investigate the impact of external factors on carbon market prices, including energy prices, economic status, international carbon markets, environmental conditions, public concerns, and especially uncertain factors. Taking China's Hubei carbon emissions exchange as a study case, we verify that our QTCN outperforms other classical benchmark models in terms of prediction errors and actual trading returns. Our findings suggest that coal prices and EU carbon prices have the most significant effect on Hubei carbon price forecasting, while air quality index appears to be the least important. Besides, we demonstrate the great contribution of geopolitical risk and economic policy uncertainty to carbon price projections. The effect of these uncertainties is more pronounced when the carbon price is at a high quantile level. This research can offer valuable guidelines for carbon market risk management and provide new insight into carbon price formation mechanisms in the era of global conflict. • We propose a novel probability forecast model QTCN for carbon prices. • The impact of economic policy uncertainty and geopolitical risks are considered. • The prediction accuracy of QTCN outperforms other competing models. • QTCN-based trading strategies yield higher profits than a point forecast-based one. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03014797
- Volume :
- 342
- Database :
- Academic Search Index
- Journal :
- Journal of Environmental Management
- Publication Type :
- Academic Journal
- Accession number :
- 164378756
- Full Text :
- https://doi.org/10.1016/j.jenvman.2023.118137