Fractional dynamic behavior in ethanol prices series

被引：30

作者：

David, S. A. ^{[1
]}

Quintino, D. D. ^{[2
]}

Inacio, C. M. C., Jr. ^{[1
]}

Machado, J. A. T. ^{[3
]}

机构：

[1] Univ Sao Paulo, Dept Biosyst Engn, BR-13635900 Pirassununga, SP, Brazil

[2] Univ Sao Paulo, Dept Econ Adm & Sociol, BR-13418900 Piracicaba, SP, Brazil

[3] Polytech Porto, Inst Engn, Rua Dr Antonio B de Almeida 431, P-4249015 Porto, Portugal

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2018年 / 339卷

基金：

巴西圣保罗研究基金会;

关键词：

Ethanol; Time series; Fractional modeling; Numerical simulations; Nonlinear systems; LONG MEMORY; STOCK; STATIONARY;

D O I：

10.1016/j.cam.2018.01.007

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Commodities have an increasing importance in international financial markets due to the cross effects between their equity patterns and their volatility. Brazil is one of the world's largest producers of ethanol that represents an important energy commodity. In this paper, several tools for investigating the Brazilian ethanol pricing mechanism are adopted, namely the Auto Regressive Integrated Moving Average, Auto Regressive Fractional Integrated Moving Average, Detrended Fluctuation Analyses, and the Hurst and Lyapunov exponents. The data series cover the period from 2010 up to the end of 2014, for the spot price composition, and 2015 for the future price prediction. The results suggest that the ethanol prices series is anti-persistent which implies that a low price level has a tendency to be followed by a high price level and vice versa. Furthermore, the effect of shocks to the price system dissipates in the long run. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：85 / 93

页数：9

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