CRUDE OIL MARKET AND GEOPOLITICAL EVENTS: AN ANALYSIS BASED ON INFORMATION-THEORY-BASED QUANTIFIERS

Aurelio Fernandez Bariviera, Luciano Zunino and Osvaldo A. Rosso
Additional contact information
Luciano Zunino: Centro de Investigaciones Ópticas (CONICET La Plata-CIC), Argentina
Osvaldo A. Rosso: Instituto de Física, Universidad Federal de Alagoas, Brazil

Fuzzy Economic Review, 2016, vol. 21, issue 1, 41-51

Abstract: This paper analyzes the informational efficiency of oil market during the last three decades, and examines changes in informational efficiency with major geopolitical events, such as terrorist attacks, financial crisis and other important events. The series under study is the daily prices of West Texas Intermediate (WTI) in USD/BBL, commonly used as a benchmark in oil pricing. The analysis is performed using information-theory-derived quantifiers, namely permutation entropy and permutation statistical complexity. These metrics allow capturing the hidden structure in the market dynamics, and allow discriminating different degrees of informational efficiency. We find that some geopolitical events impact on the underlying dynamical structure of the market.

Keywords: econophysics; permutation entropy; permutation statistical complexity; WTI; informational efficiency; geopolitical events (search for similar items in EconPapers)
JEL-codes: C49 G14 Q40 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers (2017)
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:fzy:fuzeco:v:21:y:2016:i:1:p:41-51

Access Statistics for this article

More articles in Fuzzy Economic Review from International Association for Fuzzy-set Management and Economy (SIGEF) Contact information at EDIRC.
Bibliographic data for series maintained by Aurelio Fernandez ( this e-mail address is bad, please contact ).