Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis
利用图论分析12年日度期货数据，研究能源衍生品市场内部及与其他金融资产间的关联，发现能源市场处于价格系统核心，且大宗商品市场一体化程度随时间加深。
This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and intermarket linkages, both within the commodity complex and between commodities and other financial assets. In such a high dimensional analysis, graph theory enables us to understand the dynamic behavior of our price system. We show that energy markets—as a whole—stand at the heart of this system. We also establish that crude oil is itself at the center of the energy complex. Further, we provide evidence that commodity markets have become more integrated over time. Keywords: Systemic risk, Energy, Derivative markets, High dimensional analysis, Graph theory, Minimum spanning trees