Analysis of time series of the soybean prices using the Recurrence Plot method
DOI:
https://doi.org/10.33448/rsd-v10i7.16771Keywords:
Agricultural commodities ; Subprime crises; Recurrence Plot; Recurrence quantification analysis.Abstract
Agribusiness is the activity that most moves the world economy, not only for the production of food for domestic consumption and export, but also for sustaining other economic sectors. Brazil is the country that stands out the most in this type of activity that has been growing since the last 40 years. The brazilian Agribusiness activity focused on the export market is concentrated, for the most part, on the production of agricultural commodities. Among them, one that has stood out is soybeans, which in 2020 led Brazil to become its largest producer and keeps the country in the ranking of the world's largest exporter. In view of the great economic importance of this grain for the country and the importance of investigating the possible impacts that financial crises may have on its price, this paper sought to present a study on the possible effects of the 2008 financial crisis (Subprime crisis) in the price of soybean. The daily soybean price data recorded between 07/29/1997 and 12/30/2020 by CEPEA-ESALQ/USP were then analyzed. The Recurrence Plot method and the Recurrence Quantification Analysis were used. The results showed that the Subprime crisis influenced the soybean price dynamics in a way that it started to show a higher degree of predictability in the post-crisis period, suggesting that the market of this commodity was more efficient before the crisis and that the foreign market of soy is more efficient than its domestic one.
References
Barros, V. da S., Santana, L. I. T. de, Silva, J. M. da, Araújo, L. da S., Albuquerque, C. R., & Stosic, T. (2021). Analysis of time series of hot pixels in brazilian biomes using the Recurrence Plot method. Research, Society and Development, 10(4), e16010413925.
Bastos, J. A., & Caiado, J. (2011). Recurrence quantification analysis of global stock markets. Physica A: Statistical Mechanics and its Applications, 390(7), 1315-1325.
Cao, L. (1997). Practical method for determining the minimum embedding dimension of a scalar time series. Physica D: Nonlinear Phenomena, 110(1-2), 43-50.
CEPEA/ESALQ/USP – Centro de Estudos Avançados em Economia Aplicada / Escola Superior de Agricultura Luiz de Queiroz / Universidade de São Paulo. (2021). https://www.cepea.esalq.usp.br/br.
CNA – Confederação de Agricultura e Pecuária. (2021). www.cnabrasil.org.br.
Desai, U., Martis, R. J., Acharya, U. R., Nayak, C. G., Seshikala, G., & Shetty K, R. A. N. J. A. N. (2016). Diagnosis of multiclass tachycardia beats using recurrence quantification analysis and ensemble classifiers. Journal of Mechanics in Medicine and Biology, 16(01), 1640005.
de Santana, L. I. T., da Silva, J. M., da Silva Araújo, L., Moreira, G. R., & Stosic, T. (2020). Análise de quantificação de recorrência de preços brasileiros do milho, da soja e da carne de frango. Research, Society and Development, 9(10), e9979109461-e9979109461.
de Santana, L. I. T., de Carvalho Barreto, I. D., da Silva Araújo, L., & Stosic, T. (2020). Recurrence quantification analysis of São Francisco River flow: hydrological alterations caused by the construction of Sobradinho dam. Research, Society and Development, 9(11), e87491110467-e87491110467.
Donner, R. V., Balasis, G., Stolbova, V., Georgiou, M., Wiedermann, M., & Kurths, J. (2019). Recurrence‐Based Quantification of Dynamical Complexity in the Earth's Magnetosphere at Geospace Storm Timescales. Journal of Geophysical Research: Space Physics, 124(1), 90-108.
Eckmann, J. P., Kamphorst, S. O., & Ruelle, D. (1987). Recurrence Plots of Dynamical Systems. Europhysics Letters, 4(9), 973-977.
FEALQ – Fundação de Estudos Agrários Luiz de Queiroz. (2021). https://fealq.org.br/.
Goldberg, R. A., & Davis, J. H. (1957). A concept of agribusiness. Harvard university, Boston.
Gouveia, A. B. V. S., Paulo, L. M. de, Silva, J. M. S. da, Sousa, F. E. de, Santos, F. R. dos, & Minafra, C. S. (2020). Soybean by-products in bird feeding: Review. Research, Society and Development, 9(7), e471974187.
Ivanic, M., Martin, W., & Zaman, H. (2012). Estimating the short-run poverty impacts of the 2010–11 surge in food prices. World Development, 40(11), 2302-2317.
Kantz, H., & Schreiber, T. (2004). Nonlinear time series analysis (Vol. 7). Cambridge university press.
Kristoufek, L., Janda, K., & Zilberman, D. (2012). Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective. Energy Economics, 34(5), 1380-1391.
Marwan, N., Romano, M. C., Thiel, M., & Kurths, J. (2007). Recurrence plots for the analysis of complex systems. Physics reports, 438(5-6), 237-329.
Marwan, N., Wessel, N., Meyerfeldt, U., Schirdewan, A., & Kurths, J. (2002). Recurrence-plot-based measures of complexity and their application to heart-rate-variability data. Physical review E, 66(2), 026702.
Mauad, M., Silva, T. L. B., Neto, A. I. A., & Abreu, V. G. (2010). Influência da densidade de semeadura sobre características agronômicas na cultura da soja. Agrarian, 3(9), 175-181.
Piccoli, E. (2018). A Importância Da Soja Para O Agronegócio: Uma análise sob o enfoque do aumento da produção de agricultores no Município de Santa Cecília do Sul. FAT–Faculdade e Escola Curso de Administração. Tapejara/RS. https://www.fatrs.com.br/faculdade/uploads/tcc/d464ec1e2f2c450aa33bb0e990b54878.pdf
R Core Team (2020). R: A language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. URL https://www.R-project.org/.
Salomão, R. (2020). Exportações do agronegócio somaram US$ 96,79 bilhões em 2019. https://revistagloborural.globo.com/No ticias/Economia/noticia/2020/01/exportacoes-do-agronegocio-somaram-us-9679-bilhoes-em-2019.html.
Shu, Z. R., Chan, P. W., Li, Q. S., He, Y. C., & Yan, B. W. (2021). Investigation of chaotic features of surface wind speeds using recurrence analysis. Journal of Wind Engineering and Industrial Aerodynamics, 210, 104550.
SNA – Sociedade Nacional de Agricultura. (2021). Balanço 2020: commodities que bateram recordes de exportação. www.sna.agr.br.
Takens, F. (1981). Detecting strange attractors in turbulence. In Dynamical systems and turbulence, Warwick 1980 (pp. 366-381). Springer, Berlin, Heidelberg.
Webber Jr, C. L., & Zbilut, J. P. (2005). Recurrence quantification analysis of nonlinear dynamical systems. Tutorials in contemporary nonlinear methods for the behavioral sciences, 94(2005), 26-94.
Yao, C. Z., & Lin, Q. W. (2017). Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction. The North American Journal of Economics and Finance, 42, 584-596.
Zbilut, J. P. (2005). Use of recurrence quantification analysis in economic time series. In Economics: Complex Windows (pp. 91-104). Springer, Milano.
Zbilut, J. P., & Webber Jr, C. L. (1992). Embeddings and delays as derived from quantification of recurrence plots. Physics letters A, 171(3-4), 199-203.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2021 Evellyn Cabral; Leika Irabele Tenório de Santana; Lidiane da Silva Araújo; Tatijana Stosic
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following terms:
1) Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
2) Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
3) Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
