Random Matrix Analysis of Cross-correlation in Energy Market of Shanxi , China

Energy is essential for social consumption and economic development. Different industries and sectors have different demand on the types of energy. This paper study the correlation evolution of energy price using Pearson’s correlation coefficient (PCC) in Shanxi province for the data from January 2014 to October 2015. Several fossil fuels (thermal coal, anthracite coal, blowing coal, coking coal, diesel oil, gasoline oil) are selected typically. Then, combined the empirical cross-correlation matrix with the random matrix theory (RMT), we mainly examine the statistical properties of cross-correlation coefficient, the evolution of average correlation coefficient, the distribution of eigenvalues and corresponding eigenvectors. The investigation is a way to understand the correlation structure of Shanxi energy market. The result indicated that the selected six kinds of energy are correlated. What’s more, the correlation are influenced by domestic market policy and international energy market.

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