| Full text | |
| Author(s): |
David, S. A.
;
Quintino, D. D.
;
Inacio, C. M. C., Jr.
;
Machado, J. A. T.
Total Authors: 4
|
| Document type: | Journal article |
| Source: | Journal of Computational and Applied Mathematics; v. 339, p. 9-pg., 2018-09-01. |
| Abstract | |
Commodities have an increasing importance in international financial markets due to the cross effects between their equity patterns and their volatility. Brazil is one of the world's largest producers of ethanol that represents an important energy commodity. In this paper, several tools for investigating the Brazilian ethanol pricing mechanism are adopted, namely the Auto Regressive Integrated Moving Average, Auto Regressive Fractional Integrated Moving Average, Detrended Fluctuation Analyses, and the Hurst and Lyapunov exponents. The data series cover the period from 2010 up to the end of 2014, for the spot price composition, and 2015 for the future price prediction. The results suggest that the ethanol prices series is anti-persistent which implies that a low price level has a tendency to be followed by a high price level and vice versa. Furthermore, the effect of shocks to the price system dissipates in the long run. (C) 2018 Elsevier B.V. All rights reserved. (AU) | |
| 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 |