Complexity analysis of Brazilian agriculture and energy market

Eva Susana Albarracín E., Juan C. Rodríguez Gamboa, Elaine C.M. Marques and Tatijana Stosic

Physica A: Statistical Mechanics and its Applications, 2019, vol. 523, issue C, 933-941

Abstract: 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.

Keywords: Multiscale entropy; Biofuel; Agriculture market (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:523:y:2019:i:c:p:933-941

DOI: 10.1016/j.physa.2019.04.134

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