Complexity analysis of Brazilian agriculture and energy market

被引：18

作者：

Albarracin, Eva Susana ^{[1
]}

Rodriguez Gamboa, Juan C. ^{[1
]}

Marques, Elaine C. M. ^{[1
]}

Stosic, Tatijana ^{[1
]}

机构：

[1] Univ Fed Rural Pernambuco, Dept Estat & Informat, Rua Dom Manoel de Medeiros S-N, BR-52171900 Recife, PE, Brazil

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2019年 / 523卷

关键词：

Multiscale entropy; Biofuel; Agriculture market; SUGARCANE ETHANOL-PRODUCTION; MULTISCALE ENTROPY ANALYSIS; SAMPLE ENTROPY; APPROXIMATE ENTROPY; FINANCIAL CRISIS; PRICES EVIDENCE; VOLATILITY; EXPANSION;

D O I：

10.1016/j.physa.2019.04.134

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We investigate regularity and asynchrony in Brazilian energy (ethanol) and agriculture (sugar) market with focus on 2008 global economic crisis, using multiscale entropy method. We applied this method on sugar and ethanol return series for different temporal scales and in sliding windows to analyze temporal evolution of regularity of price dynamics. The results show that for both ethanol and sugar return series the entropy values increase after 2008 and 2012, indicating the increase of market efficiency in post-crisis periods. During the crisis periods sugar and ethanol return series present some deviations from the expected decreasing behavior for higher timescales, which is more evident for the ethanol. Overall, higher entropy values are found for ethanol series indicating less regularity and higher market efficiency in energy market. (C) 2019 Published by Elsevier B.V.

引用

页码：933 / 941

页数：9

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