This study proposes a conceptual framework aimed at providing risk indications regarding potential abnormal behaviors of firms operating in the carbon market. Specifically, the procedure is designed to detect outlier firms, whose market behavior significantly deviates from the average. This framework involves a two-step process: first, a univariate analysis assesses transaction frequency and volume traded, followed by a multivariate analysis using the Mahalanobis distance.
Detecting anomalies in the carbon market. indicators and insights / Nardone, Claudia; Pittiglio, Rosanna; Reganati, Filippo. - (2024), pp. 187-210.
Detecting anomalies in the carbon market. indicators and insights
Nardone, Claudia
;Pittiglio, Rosanna
;Reganati, Filippo
2024
Abstract
This study proposes a conceptual framework aimed at providing risk indications regarding potential abnormal behaviors of firms operating in the carbon market. Specifically, the procedure is designed to detect outlier firms, whose market behavior significantly deviates from the average. This framework involves a two-step process: first, a univariate analysis assesses transaction frequency and volume traded, followed by a multivariate analysis using the Mahalanobis distance.| File | Dimensione | Formato | |
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Nardone_Detecting-anomalies_2024.pdf
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