Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers

Aurelio Fernandez Bariviera, Luciano Zunino and Osvaldo A. Rosso

Papers from arXiv.org

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.

Date: 2017-04
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (7)

Published in Fuzzy Economic Review, 2016, 21(1),41-51

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Journal Article: CRUDE OIL MARKET AND GEOPOLITICAL EVENTS: AN ANALYSIS BASED ON INFORMATION-THEORY-BASED QUANTIFIERS (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1704.04442

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