Quantifying the Predictability and Efficiency of the Cointegrated Ethanol and Agricultural Commodities Price Series

Autor(es)

David, Sergio Adriani ^[1] ; Inacio, Jr., Claudio M. C. ^[1] ; Tenreiro Machado, Jose Antonio ^[2]

Afiliação do(s) autor(es)

^[1] Univ Sao Paulo, Dept Biosyst Engn, BR-13635900 Pirassununga, SP - Brazil

^[2] Polytech Porto, Inst Engn, P-4249015 Porto - Portugal

• Tipo de documento: Artigo Científico
• Fonte: APPLIED SCIENCES-BASEL; v. 9, n. 24 DEC 2019.
• Citações Web of Science: 0

Resumo

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)

• Processo FAPESP: 17/15517-0 - Comportamento dinâmico, no âmbito fracionário, das séries de preços de commodities agrícolas vis a vis os preços do etanol
• Beneficiário: Claudio Marcio Cassela Inacio Junior
• Modalidade de apoio: Bolsas no Brasil - Iniciação Científica
• Processo FAPESP: 17/13815-3 - Dinâmica fracionária das séries de preços do etanol no Brasil
• Beneficiário: Sergio Adriani David
• Modalidade de apoio: Auxílio à Pesquisa - Programa BIOEN - Regular