Dynamic behavior in the fractional scope of agricultural commodities price series vis-a-vis ethanol prices

• Grant number: 17/15517-0
• Support type: Scholarships in Brazil - Scientific Initiation
• Effective date (Start): December 01, 2018
• Effective date (End): November 30, 2019
• Field of knowledge: Interdisciplinary Subjects
• Principal researcher: Sergio Adriani David
• Grantee: Claudio Marcio Cassela Inacio Junior
• Home Institution: Faculdade de Zootecnia e Engenharia de Alimentos (FZEA). Universidade de São Paulo (USP). Pirassununga , SP, Brazil

Abstract

Having in mind that the share of ethanol as biofuel has increased in recent decades, concern about the impacts of its prices on agricultural commodity prices has gained relevance. These concerns are due to the fact that the energy and environmental benefits derived from the use of biofuels can occur at the expense of the impact of agricultural commodity prices. This is because most of the raw materials currently used to produce biofuels, such as corn in the US, sugarcane in Brazil and oilseeds in Europe, are also important commodities globally. When it comes to ethanol, it could not only influence the price level of these agricultural commodities but may also affect the volatility of these prices. Price volatility reflects the volatility of current and expected future values of production, consumption, and inventory demand. With the recognition that there are other measures of volatility associated with consumption, production or stocks, in this study, the focus is on price series and the main objective is to use numerical modeling and numerical simulation tools in the fractional scope in order to analyze the relationship between the behavior of ethanol price dynamics and the price dynamics of some agricultural commodities, such as corn, sugar and soybean. It is hoped that the results may contribute to the clarification of price relationships between ethanol and such commodities, thus allowing agents in these markets to be clearer in making decisions that involve hedging, risk exposure and investment incentives.

Scientific publications

(4)

(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)

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.