About: Commodity futures and market efficiency

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We analyze the market efficiency of 25 commodity futures across various groups – metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat and coffee. On the other end of the ranking, we detect live cattle and feeder cattle. The efficiency is also found to be characteristic for specific groups of commodities – energy commodities being the most efficient and the other agricultural commodities (formed mainly of livestock) the least efficient groups. We also discuss contributions of the long-term memory, fractal dimension and approximate entropy to the total inefficiency. Last but not least, we come across the nonstandard relationship between the fractal dimension and Hurst exponent. For the analyzed dataset, the relationship between these two is positive meaning that local persistence (trending) is connected to global anti-persistence. We analyze the market efficiency of 25 commodity futures across various groups – metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat and coffee. On the other end of the ranking, we detect live cattle and feeder cattle. The efficiency is also found to be characteristic for specific groups of commodities – energy commodities being the most efficient and the other agricultural commodities (formed mainly of livestock) the least efficient groups. We also discuss contributions of the long-term memory, fractal dimension and approximate entropy to the total inefficiency. Last but not least, we come across the nonstandard relationship between the fractal dimension and Hurst exponent. For the analyzed dataset, the relationship between these two is positive meaning that local persistence (trending) is connected to global anti-persistence. (en)
Title	Commodity futures and market efficiency Commodity futures and market efficiency (en)
skos:prefLabel	Commodity futures and market efficiency Commodity futures and market efficiency (en)
skos:notation	RIV/67985556:_____/14:00420811!RIV15-GA0-67985556
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GA402/09/0965), P(GAP402/11/0948)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Vošvrda, Miloslav Krištoufek, Ladislav
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	7858
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/14:00420811
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	commodities; efficiency; entropy; long-term memory; fractal dimension (en)
http://linked.open.../riv/klicoveSlovo	entropy commodities efficiency long-term memory fractal dimension
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[DEF9E2DC5E92]
http://linked.open...i/riv/nazevZdroje	Energy Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Developing Analytical Framework for Energy Security: Time-Series Econometrics, Game Theory, Meta-Analysis and Theory of Regulation New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	42
http://linked.open...iv/tvurceVysledku	Vošvrda, Miloslav Krištoufek, Ladislav
http://linked.open...ain/vavai/riv/wos	000333778400007
issn	0140-9883
number of pages	7 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.eneco.2013.12.001

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