Artículo

Zunino, L.; Tabak, B.M.; Serinaldi, F.; Zanin, M.; Pérez, D.G.; Rosso, O.A. "Commodity predictability analysis with a permutation information theory approach" (2011) Physica A: Statistical Mechanics and its Applications. 390(5):876-890
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Abstract:

It is widely known that commodity markets are not totally efficient. Long-range dependence is present, and thus the celebrated Brownian motion of prices can be considered only as a first approximation. In this work we analyzed the predictability in commodity markets by using a novel approach derived from Information Theory. The complexityentropy causality plane has been recently shown to be a useful statistical tool to distinguish the stage of stock market development because differences between emergent and developed stock markets can be easily discriminated and visualized with this representation space [L. Zunino, M. Zanin, B.M. Tabak, D.G. Prez, O.A. Rosso, Complexityentropy causality plane: a useful approach to quantify the stock market inefficiency, Physica A 389 (2010) 18911901]. By estimating the permutation entropy and permutation statistical complexity of twenty basic commodity future markets over a period of around 20 years (1991.01.022009.09.01), we can define an associated ranking of efficiency. This ranking is quantifying the presence of patterns and hidden structures in these prime markets. Moreover, the temporal evolution of the commodities in the complexityentropy causality plane allows us to identify periods of time where the underlying dynamics is more or less predictable. © 2010 Elsevier B.V. All rights reserved.

Registro:

Documento: Artículo
Título:Commodity predictability analysis with a permutation information theory approach
Autor:Zunino, L.; Tabak, B.M.; Serinaldi, F.; Zanin, M.; Pérez, D.G.; Rosso, O.A.
Filiación:Instituto de Física Interdisciplinar y Sistemas Complejos (IFISC) CSIC-UIB, Campus Universitat de les Illes Balears, E-07122 Palma de Mallorca, Spain
Centro de Investigaciones Ópticas (CONICET la Plata - CIC), C.C. 3, 1897 Gonnet, Argentina
Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de la Plata (UNLP), 1900 La Plata, Argentina
Banco Central Do Brasil - SBS Quadra 3, Bloco B, 9 andar, DF 70074-900, Brazil
Universidade Catolica de Brasilia, Brasilia, DF, Brazil
Dipartimento GEMINI, Università della Tuscia, Via S. Camillo de Lellis snc, 01100 Viterbo, Italy
Universidad Autónoma de Madrid, 28049 Madrid, Spain
Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025 Valparaíso, Chile
Instituto de Ciências Exatas (Fisica), Universidade Federal de Minas Gerais, Av. Antônio Carlos, 6627 - Campus Pampulha, 31270-901 Belo Horizonte - MG, Brazil
Chaos and Biology Group, Instituto de Cálculo, Universidad de Buenos Aires, Pabellón II, Ciudad Universitaria, 1428 Ciudad de Buenos Aires, Argentina
Palabras clave:Bandt and Pompe method; Commodity efficiency; Complexityentropy causality plane; Ordinal time series analysis; Permutation entropy; Permutation statistical complexity; Bandt and Pompe method; Commodity efficiency; Complexityentropy causality plane; Ordinal time series analysis; Permutation entropy; Statistical complexity; Brownian movement; Commerce; Entropy; Finance; Information theory; Statistical mechanics; Time series; Time series analysis
Año:2011
Volumen:390
Número:5
Página de inicio:876
Página de fin:890
DOI: http://dx.doi.org/10.1016/j.physa.2010.11.020
Título revista:Physica A: Statistical Mechanics and its Applications
Título revista abreviado:Phys A Stat Mech Appl
ISSN:03784371
CODEN:PHYAD
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v390_n5_p876_Zunino

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Citas:

---------- APA ----------
Zunino, L., Tabak, B.M., Serinaldi, F., Zanin, M., Pérez, D.G. & Rosso, O.A. (2011) . Commodity predictability analysis with a permutation information theory approach. Physica A: Statistical Mechanics and its Applications, 390(5), 876-890.
http://dx.doi.org/10.1016/j.physa.2010.11.020
---------- CHICAGO ----------
Zunino, L., Tabak, B.M., Serinaldi, F., Zanin, M., Pérez, D.G., Rosso, O.A. "Commodity predictability analysis with a permutation information theory approach" . Physica A: Statistical Mechanics and its Applications 390, no. 5 (2011) : 876-890.
http://dx.doi.org/10.1016/j.physa.2010.11.020
---------- MLA ----------
Zunino, L., Tabak, B.M., Serinaldi, F., Zanin, M., Pérez, D.G., Rosso, O.A. "Commodity predictability analysis with a permutation information theory approach" . Physica A: Statistical Mechanics and its Applications, vol. 390, no. 5, 2011, pp. 876-890.
http://dx.doi.org/10.1016/j.physa.2010.11.020
---------- VANCOUVER ----------
Zunino, L., Tabak, B.M., Serinaldi, F., Zanin, M., Pérez, D.G., Rosso, O.A. Commodity predictability analysis with a permutation information theory approach. Phys A Stat Mech Appl. 2011;390(5):876-890.
http://dx.doi.org/10.1016/j.physa.2010.11.020