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Fractional dynamics of ethanol price series in Brazil

Abstract

Mathematical models involving derivatives and integrals of non-integer (fractional) orders have been presented as an important tool in academic research as well as in applications, particularly those that admit mathematical models that lead to solutions very close to those observed in reality. These applications have been observed in the most diverse areas of human knowledge. The main objective of this project is to investigate the use of fractional order tools in dynamic systems, notably agricultural biosystems. In this context, the focus will be on ethanol. In fact, Brazil is one of the world's largest producers of ethanol, an important energy commodity. Commodities have an increasing role in international financial markets because of the effects of equity standards and their volatility. The present research project intends to deepen the acquired knowledge involving the fractional calculus and, at the same time, to adopt several tools in the fractional scope such as the auto-regressive fractionally integrated moving-average process, the detrended fluctuation analysis, the Hurst coefficient and the Lyapunov exponent in order to investigate the dynamics and the Brazilian mechanism of ethanol pricing. In addition, the correlation or influence between the price movements of ethanol vis-à-vis other commodities can be also considered. The results obtained could contribute to guide strategies, actions and decisions making that are increasingly efficient and useful for Brazilian agribusiness. (AU)

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Scientific publications (7)
(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)
VALENTIM, CARLOS ALBERTO; INACIO JR, CLAUDIO MARCIO CASSELA; DAVID, SERGIO ADRIANI. Fractal Methods and Power Spectral Density as Means to Explore EEG Patterns in Patients Undertaking Mental Tasks. FRACTAL AND FRACTIONAL, v. 5, n. 4 DEC 2021. Web of Science Citations: 0.
DAVID, S. A.; INACIO JR, C. M. C.; NUNES, R.; MACHADO, J. A. T. Fractional and fractal processes applied to cryptocurrencies price series. JOURNAL OF ADVANCED RESEARCH, v. 32, n. SI, p. 85-98, SEP 2021. Web of Science Citations: 1.
DAVID, S. A.; INACIO, JR., C. M. C.; QUINTINO, D. D.; MACHADO, J. A. T. Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension. ENERGY ECONOMICS, v. 85, JAN 2020. Web of Science Citations: 0.
DAVID, SERGIO ADRIANI; INACIO, JR., CLAUDIO M. C.; TENREIRO MACHADO, JOSE ANTONIO. Quantifying the Predictability and Efficiency of the Cointegrated Ethanol and Agricultural Commodities Price Series. APPLIED SCIENCES-BASEL, v. 9, n. 24 DEC 2019. Web of Science Citations: 0.
DAVID, SERGIO ADRIANI; INACIO JR, CLAUDIO M. C.; TENREIRO MACHADO, JOSE A. Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship. MATHEMATICS, v. 7, n. 9 SEP 2019. Web of Science Citations: 0.
DAVID, S. A.; QUINTINO, D. D.; INACIO, JR., C. M. C.; MACHADO, J. A. T. Fractional dynamic behavior in ethanol prices series. Journal of Computational and Applied Mathematics, v. 339, n. SI, p. 85-93, SEP 2018. Web of Science Citations: 7.
DAVID, S. A.; FISCHER, C.; TENREIRO MACHADO, J. A. Fractional electronic circuit simulation of a nonlinear macroeconomic model. AEU-INTERNATIONAL JOURNAL OF ELECTRONICS AND COMMUNICATIONS, v. 84, p. 210-220, FEB 2018. Web of Science Citations: 3.

Please report errors in scientific publications list by writing to: cdi@fapesp.br.