Co-existence of stochastic and chaotic behaviour in the copper price time series

Loretta Mastroeni, Pierluigi Vellucci and Maurizio Naldi

Resources Policy, 2018, vol. 58, issue C, 295-302

Abstract: The possible scarcity of copper (and the likely resulting pressure on prices) is an issue of concern, especially in the light of its importance for the ever growing networking industry. Also for that reason, copper is the nonferrous metal most traded in the markets. Therefore, assessing the nature of its price fluctuations is an important task. Several papers have been devoted to analysing the characteristics of the time series of copper prices, especially for the purpose of predicting its future behaviour. The field of approaches can be divided roughly equally between those adopting a stochastic model and those opting for a deterministic nonlinear (chaotic) model. Nevertheless, while papers employing the stochastic paradigm have completely ignored the presence of chaotic features, at the same time papers recognizing the chaotic paradigm have neglected the presence of noise.The purpose of this paper is to investigate copper price behaviour in the CMX, considering a very long time series and adopting estimation methods that provide the coexistence of stochastic and chaotic features. We find that: a) the presence of noise is very significant (amounting to more than a quarter of the average signal value), as well as the presence of chaotic features; b) intermittency is present, which may be indicative of a bubble-related value that emerged without any fundamental cause.

Keywords: Time series analysis; Chaos; Noise; Correlation entropy; Copper; Prices (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420718301995
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:58:y:2018:i:c:p:295-302

DOI: 10.1016/j.resourpol.2018.05.019

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().