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The North American natural gas liquids markets are chaotic

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  • Serletis, Apostolos
  • Gogas, Periklis

Abstract

In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas. In doing so, we use the Lyapunov exponent estimator of Nychka, Ellner, Gallant, and McCaffrey (1992). We conclude that there is evidence consistent with a chaotic nonlinear generation process in all five natural gas liquids markets.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1576.

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Date of creation: 1999
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Publication status: Published in The Energy Journal 1.20(1999): pp. 83-103
Handle: RePEc:pra:mprapa:1576

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Keywords: Chaos; Natural Gas; Lyapunov exponent;

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Cited by:
  1. Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
  2. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
  3. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
  4. Serletis, Apostolos & Andreadis, Ioannis, 2004. "Random fractal structures in North American energy markets," Energy Economics, Elsevier, vol. 26(3), pages 389-399, May.
  5. Barkoulas, John T. & Chakraborty, Atreya & Ouandlous, Arav, 2012. "A metric and topological analysis of determinism in the crude oil spot market," Energy Economics, Elsevier, vol. 34(2), pages 584-591.
  6. Wu, Y. & Zhang, D.Z., 2007. "Demand fluctuation and chaotic behaviour by interaction between customers and suppliers," International Journal of Production Economics, Elsevier, Elsevier, vol. 107(1), pages 250-259, May.
  7. Elder, John & Serletis, Apostolos, 2008. "Long memory in energy futures prices," Review of Financial Economics, Elsevier, Elsevier, vol. 17(2), pages 146-155.

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