| Full text | |
| Author(s): |
Total Authors: 3
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| Affiliation: | [1] Univ Sao Paulo, Dept Biosyst Engn, BR-13635900 Pirassununga, SP - Brazil
[2] Polytech Porto, Inst Engn, P-4249015 Porto - Portugal
Total Affiliations: 2
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| Document type: | Journal article |
| Source: | APPLIED SCIENCES-BASEL; v. 9, n. 24 DEC 2019. |
| Web of Science Citations: | 0 |
| Abstract | |
Ethanol is an energy commodity and a biofuel that has contributed to mitigate the use of fossil fuels. Nonetheless, the environmental benefits derived from the use of ethanol can occur at the expense of the agricultural commodities prices, affecting their volatilities and efficiency. This problem occurs 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 global commodities. This work adopts several mathematical tools, namely the Detrended Fluctuation Analysis, fractal dimension, and the Hurst and Lyapunov exponents. This set of tools measures the market efficiency and the prices' predictability for the ethanol and some agriculture commodities that revealed price transmission (cointegration), in a previous work. The results show that, in general, the ethanol has a lower predictability horizon than the other commodities. Moreover, it is discussed a quantitative measure to assess the market performance, by means of the efficiency index. We observe that the ethanol efficiency is similar to the other agricultural commodities evaluated. (AU) | |
| FAPESP's process: | 17/15517-0 - Dynamic behavior in the fractional scope of agricultural commodities price series vis-a-vis ethanol prices |
| Grantee: | Claudio Marcio Cassela Inacio Junior |
| Support Opportunities: | Scholarships in Brazil - Scientific Initiation |
| FAPESP's process: | 17/13815-3 - Fractional dynamics of ethanol price series in Brazil |
| Grantee: | Sergio Adriani David |
| Support Opportunities: | Program for Research on Bioenergy (BIOEN) - Regular Program Grants |