Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 390, Issue 5, Pages 876-890Publisher
ELSEVIER
DOI: 10.1016/j.physa.2010.11.020
Keywords
Commodity efficiency; Complexity-entropy causality plane; Permutation entropy; Permutation statistical complexity; Bandt and Pompe method; Ordinal time series analysis
Categories
Funding
- Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET), Argentina
- CNPq foundation
- Comision Nacional de Investigacion Cientifica y Tecnologica (CONICYT, FONDECYT), Chile [1100753]
- Pontificia Universidad Catolica de Valparaiso (PUCV), Chile [123.704/2010]
- CAPES, Brazil
Ask authors/readers for more resources
It is widely known that commodity markets are not totally efficient. Long-range dependence is present, and thus the celebrated Brownian motion of prices can be considered only as a first approximation. In this work we analyzed the predictability in commodity markets by using a novel approach derived from Information Theory. The complexity-entropy causality plane has been recently shown to be a useful statistical tool to distinguish the stage of stock market development because differences between emergent and developed stock markets can be easily discriminated and visualized with this representation space [L. Zunino, M. Zanin, B.M. Tabak, D.G. Perez, O.A. Rosso, Complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency, Physica A 389 (2010) 1891-1901]. By estimating the permutation entropy and permutation statistical complexity of twenty basic commodity future markets over a period of around 20 years (1991.01.02-2009.09.01), we can define an associated ranking of efficiency. This ranking is quantifying the presence of patterns and hidden structures in these prime markets. Moreover, the temporal evolution of the commodities in the complexity-entropy causality plane allows us to identify periods of time where the underlying dynamics is more or less predictable. (C) 2010 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available