“CHAOS” IN ENERGY AND COMMODITY MARKETS: A CONTROVERSIAL MATTER

Loretta Mastroeni and Pierluigi Vellucci

No 218, Departmental Working Papers of Economics - University 'Roma Tre' from Department of Economics - University Roma Tre

Abstract: We test whether the futures prices of some commodity and en- ergy markets are determined by stochastic rules or exhibit nonlinear deterministic endogenous uctuations. As for the methodologies, we use the maximal Lyapunov exponents (MLE) and a determinism test, both based on the reconstruction of the phase space of a dynamical sys- tem underlying a scalar time series. In particular, employing a recent methodology, we estimate a coecient that describes the determin- ism rate of the analyzed time series. The empirical evidence suggests that commodity and energy futures prices are the measured footprint of a nonlinear deterministic, rather than a stochastic, system.

Keywords: chaos; butter y e ect; commodity futures. (search for similar items in EconPapers)
JEL-codes: C53 D40 Q02 Q47 (search for similar items in EconPapers)
Pages: 29
Date: 2017-05
New Economics Papers: this item is included in nep-dcm and nep-ene
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Persistent link: https://EconPapers.repec.org/RePEc:rtr:wpaper:0218

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