“Chaos” In Energy And Commodity Markets: A Controversial Matter

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.