Angel Pardo

Bio: Angel Pardo is an academic researcher from University of Valencia. The author has contributed to research in topics: Futures contract & Volatility (finance). The author has an hindex of 16, co-authored 50 publications receiving 1460 citations.

CO2 prices, energy and weather

Abstract: One of the main objectives of the European Union Emission Trading Scheme is the establishment of a market price level for allowances that show to European CO 2 emitting installations the environmental impact of their polluting activities. The aim of this paper is to focus on the daily price changes during 2005 in an attempt to examine the underlying rationality of pricing behaviour. Specifically, we study the effect of those weather and non-weather variables that academic and market agents consider as the major determinants of the of CO 2 price levels. The results show that the energy sources are the principal factors in the determination of CO 2 price levels, and that only extreme temperatures influence them.

Rolling over stock index futures contracts

Abstract: Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 28:684–694, 2009

Spanish Stock Returns: Where is the Weather Effect?

Abstract: Psychological studies support the existence of an influence of weather on mood. Saunders (1993) and Hirshleifer and Shumway (2001) argue that the weather could affect the behaviour of market traders and, therefore, it should be reflected in the stock returns. This paper investigates the possible relation between weather and market index returns in the context of the Spanish market. In 1989, this market changed its open outcry trading system into a computerised and decentralised trading system. Therefore, it is possible to check the influence of weather variables (sunshine hours and humidity levels) on index returns in an open outcry trading system, and to compare it with a screen traded environment. The empirical evidence indicates that, independently of the trading system, there is no influence of weather on stock prices. Thus, these findings do not contest the notion of efficient markets.

A review on applications of ANN and SVM for building electrical energy consumption forecasting

Abstract: The rapid development of human population, buildings and technology application currently has caused electric consumption to grow rapidly. Therefore, efficient energy management and forecasting energy consumption for buildings are important in decision-making for effective energy saving and development in particular places. This paper reviews the building electrical energy forecasting method using artificial intelligence (AI) methods such as support vector machine (SVM) and artificial neural networks (ANN). Both methods are widely used in the field of forecasting and their aim on finding the most accurate approach is ever continuing. Besides the already existing single method of forecasting, the hybridization of the two forecasting methods has the potential to be applied for more accurate results. Further research works are currently ongoing, regarding the potential of hybrid method of Group Method of Data Handling (GMDH) and Least Square Support Vector Machine (LSSVM), or known as GLSSVM, to forecast building electrical energy consumption.

Survey of the international evidence on the causal relationship between energy consumption and growth

Abstract: Purpose – The purpose of this paper is to survey the empirical literature on the causal relationship between energy consumption and economic growth.Design/methodology/approach – The four major hypotheses (growth, conservation, neutrality, and feedback) are briefly outlined with respect to the energy consumption‐growth nexus and corresponding policy implications of each. The survey focuses on country coverage, variables selected and model specification, econometric approaches, various methodological issues, and empirical results.Findings – Though there is no clear consensus on the results for a specific country or groups of countries, directions for future research are discussed.Research limitations/implications – The research surveyed may be dated by the time of publication given the ongoing research in this area.Originality/value – This paper serves as a reference for researchers on the causal relationship between energy consumption and economic growth.

Pricing Carbon: The European Union Emissions Trading Scheme

Abstract: The European Union's Emissions Trading Scheme (EU ETS) is the world's largest market for carbon and the most significant multinational initiative ever taken to mobilize markets to protect the environment. It will be an important influence on the development and implementation of trading schemes in the US, Japan, and elsewhere. However, as is true of any pioneering public policy experiment, this scheme has generated much controversy. Pricing Carbon provides the first detailed description and analysis of the EU ETS, focusing on the first 'trial' period of the scheme (2005–7). Written by an international team of experts, it allows readers to get behind the headlines and come to a better understanding of what was done and what happened based on a dispassionate, empirically based review of the evidence. This book should be read by anyone who wants to know what happens when emissions are capped, traded, and priced.