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dc.contributor.author
Fernández Bariviera, Aurelio
dc.contributor.author
Zunino, Luciano José
dc.contributor.author
Rosso, Osvaldo Aníbal
dc.date.available
2018-08-14T13:55:34Z
dc.date.issued
2016-05
dc.identifier.citation
Fernández Bariviera, Aurelio; Zunino, Luciano José; Rosso, Osvaldo Aníbal; Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers; International Association for Fuzzy-set Management and Economy; Fuzzy Economic Review; 21; 1; 5-2016; 41-51
dc.identifier.issn
1136-0593
dc.identifier.uri
http://hdl.handle.net/11336/55324
dc.description.abstract
This paper analyzes the informational efficiency of oil market during the last three decades, and examines changes in informational efficiency with major geopolitical events, such as terrorist attacks, financial crisis and other important events. The series under study is the daily prices of West Texas Intermediate (WTI) in USD/BBL, commonly used as a benchmark in oil pricing. The analysis is performed using information-theory-derived quantifiers, namely permutation entropy and permutation statistical complexity. These metrics allow capturing the hidden structure in the market dynamics, and allow discriminating different degrees of informational efficiency. We find that some geopolitical events impact on the underlying dynamical structure of the market.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
International Association for Fuzzy-set Management and Economy
dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Econophysics
dc.subject
Permutation Entropy
dc.subject
Permutation Statistical Complexity
dc.subject
Wti
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Informational Efficiency
dc.subject
Geopolitical Events
dc.subject.classification
Astronomía
dc.subject.classification
Ciencias Físicas
dc.subject.classification
CIENCIAS NATURALES Y EXACTAS
dc.title
Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2018-06-18T21:23:16Z
dc.journal.volume
21
dc.journal.number
1
dc.journal.pagination
41-51
dc.journal.pais
España
dc.journal.ciudad
Barcelona
dc.description.fil
Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España
dc.description.fil
Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina
dc.description.fil
Fil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Instituto Tecnológico de Buenos Aires; Argentina. Universidade Federal de Alagoas; Brasil
dc.journal.title
Fuzzy Economic Review
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://www.sigef.net/component/k2/item/561-crude-oil-market-and-geopolitical-events-an-analysis-based-on-information-theory-based-quantifiers
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