Complexity analysis of Brazilian agriculture and energy market
Eva Susana Albarracín E.,
Juan C. Rodríguez Gamboa,
Elaine C.M. Marques and
Physica A: Statistical Mechanics and its Applications, 2019, vol. 523, issue C, 933-941
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:523:y:2019:i:c:p:933-941
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().