Commodity futures and market efficiency

被引：0

作者：

Kristoufek, Ladislav ^{[1
,2
]}

Vosvrda, Miloslav ^{[1
,2
]}

机构：

[1] Acad Sci Czech Republ, Inst Informat Theory & Automat, CR-18208 Prague, Czech Republic

[2] Charles Univ Prague, Fac Social Sci, Inst Econ Studies, Prague 11000, Czech Republic

来源：

MATHEMATICAL METHODS IN ECONOMICS (MME 2014) | 2014年

关键词：

commodities; efficiency; entropy; long-term memory; fractal dimension; APPROXIMATE ENTROPY; TIME-SERIES; HYPOTHESIS; ESTIMATORS;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We analyze the market efficiency of 25 commodity futures across various groups metals, energies, soft commodities, grains and other agricultural commodities. To do so, we utilize the recently proposed Efficiency Index to find out that the most efficient among all of the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat, and coffee. On the other end of the ranking scale we find live cattle and feeder cattle. The efficiency is also found to be characteristic for specific groups of commodities, with energy commodities being the most efficient and other agricultural commodities (composed mainly of livestock) the least efficient groups.

引用

页码：506 / 511

页数：6

共 27 条

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