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Caos en el mercado de commodities

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  • Christian Espinosa Méndez

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Abstract

Este artículo aplica seis técnicas y herramientas (análisis gráfico, gráfico de recurrencia,entropía de espacio temporal, coeficiente de Hurst, exponente de Lyapunov y dimensiónde correlación), a las series de retornos del cobre, oro, petróleo, plata, zinc, aluminio,plomo y níquel, con el fin de corroborar la existencia de un comportamiento caótico en elmercado de commodities. Se encuentra evidencia de que los mercados financieros secomportan de forma caótica en contra de la hipótesis de aleatoriedad. Se contrasta,igualmente, no-normalidad, no-aleatoriedad y no-linealidad. Los resultados encontradoscontradicen algunos de los supuestos básicos de la teoría financiera moderna.

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File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/53/v29n53_espinosa.pdf
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Bibliographic Info

Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

Volume (Year): (2010)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000093:007835

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Related research

Keywords: gráfico de recurrencia; coeficiente de Hurst; exponente de Lyapunov; dimensión de correlación; test BDS; metales; caos; commodities.;

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