Multiscale entropy analysis of Brazilian agricultural commodities price dynamics

Authors

DOI:

https://doi.org/10.33448/rsd-v9i11.9832

Keywords:

Agricultural market; Multiscale entropy; Food crisis.

Abstract

During the last decade there were several consecutive periods of upsurge and decline of commodity prices. Price formation in agricultural markets is the result of many factors such as crude oil prices, exchange rates, biofuel demand, speculation in commodity futures markets, countries’ aggressive stockpiling policies, trade restrictions and economic growth.  The diversity of these factors as well as the occurrence of extreme socio-political events yields a market with complex price evolution. This paper uses time dependent multiscale entropy method to analyze the evolution of Brazilian agricultural commodities prices movements at different temporal scales during the period from March 2006 to March 2016. We found that the entropy of both volatility and return series decreases as the temporal scale increases, indicating more regular price fluctuations and the loss of pattern diversity in long term trends. In general, volatilities series are more regular than return series as indicated by lower entropy values. By applying multiscale entropy in moving windows, we found that during the crisis the entropy of price fluctuations decreases indicating higher regularity and consequently lower efficiency in agricultural commodities market.  The effect is more pronounced for volatility series and for higher temporal scales.

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Published

22/11/2020

How to Cite

FARIAS, D. B. C. .; SILVA, A. S. A. da .; STOSIC, T.; STOSIC, B. Multiscale entropy analysis of Brazilian agricultural commodities price dynamics. Research, Society and Development, [S. l.], v. 9, n. 11, p. e4739119832, 2020. DOI: 10.33448/rsd-v9i11.9832. Disponível em: https://rsdjournal.org/index.php/rsd/article/view/9832. Acesso em: 9 jan. 2025.

Issue

Vol. 9 No. 11

Section

Exact and Earth Sciences

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Copyright (c) 2020 Djalma Beltrão Costa Farias; Antonio Samuel Alves da Silva; Tatijana Stosic; Borko Stosic

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