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

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  • Loretta Mastroeni
  • Pierluigi Vellucci

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.

Suggested Citation

  • Loretta Mastroeni & Pierluigi Vellucci, 2017. "“Chaos” In Energy And Commodity Markets: A Controversial Matter," Departmental Working Papers of Economics - University 'Roma Tre' 0218, Department of Economics - University Roma Tre.
  • Handle: RePEc:rtr:wpaper:0218
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    References listed on IDEAS

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    More about this item

    Keywords

    chaos; butter y e ect; commodity futures.;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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