Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets

Memon, Bilal Ahmed; Yao, Hongxing; Naveed, Hafiz Muhammad

doi:10.1016/j.resourpol.2022.102715

Cited by 20 publications

(13 citation statements)

References 67 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In interdisciplinary model-coupling, many such flawed assumptions may accumulate. For example, a recent exploration of scenarios for global biodiversity recovery based on coupled IAM-biodiversity modeling (Leclère et al 2020) accumulates problematic assumptions regarding, among other things, rational, strategic agents and efficient international markets (Memon et al 2022;Urbina & Ruiz-Villaverde 2019; in IAMs' agroeconomic submodels) historical land-use intensification processes (Ellis et al 2013; in the land-use reconstructions underpinning the used climate models), and species being at equilibria with their environments (Dormann 2007; implicit in species-distribution models and other biodiversity-environment models).…”

Section: How Solid Are the Theoretical Assumptions Behind Our Models'...mentioning

confidence: 99%

Towards robust interdisciplinary modeling of global human-environmental dynamics

Meyer¹

2023

Preprint

View full text Add to dashboard Cite

Real-world environmental problems are typically vast, urgent, and complex. Confronted with such problems, we are often tempted to act fast by pulling together little bits and pieces from different fields and simply adding these to pre-existing models and frameworks. Seldom, though, do we pause long enough to look whether and for how long those larger structures we build can support reliable answers to our questions. In this Perspective, I critically discuss the current state of interdisciplinary coupled modeling of human-environment relationships, with a focus on the classical model virtues precision, generality, and realism. I draw examples mainly from integrated assessment models – popular coupled modeling frameworks that are increasingly coupled further with ecological models to address biodiversity questions in the context of broader global-change and sustainability challenges. Specifically, I discuss i) how limitations in our models’ training data and underpinning theories translate into excessively uncertain predictions, ii) how coupling even highly general sub-models can lead to hardly generalizable representations of indirect human-environment relationships, and iii) how representing ever more processes decreases rather than increases realism due to greater average measurement bias, a problem further exacerbated as we add processes based on their relevance for our own systems of interest, rather than for the real-world systems’ dynamics. I also explore barriers to advancing scientific modeling virtues amid other, non-scientific motivations for interdisciplinary modeling (e.g., cultural, economic, normative). Finally, I offer suggestions to modelers and other actors in science, science administration, and science policy to help promote a transition to more robust interdisciplinary coupled models that can remain powerful for addressing major sustainability challenges far beyond the next iteration of science-policy assessments.

show abstract

Section: How Solid Are the Theoretical Assumptions Behind Our Models'...mentioning

confidence: 99%

Towards robust interdisciplinary modeling of global human-environmental dynamics

Meyer¹

2023

Preprint

View full text Add to dashboard Cite

show abstract

“…Some commodities are considered efficient assets with their prices, while others are more inefficient with a greater degree of predictability. Memon et al (2022) study Commodity markets (Crude, Brent, Gasoline, Natural gas, Corn, Wheat, Soybeans, Cocoa, Coffee, Gold, Silver, and Copper). They study the efficiency and herding pattern of 12 commodities markets and uncover multifractality and herding behavior during crises.…”

Section: Brief Literature Reviewmentioning

confidence: 99%

Booms in commodities price: assessing disorder and similarity overeconomic cycles

Fernandes¹,

Araujo²,

Silva³

et al. 2022

Preprint

View full text Add to dashboard Cite

This paper provides an overview of the commodities market, considering three relevant attributes: predictability, similarity, and efficiency. We examine the monthly spot and futures prices time series for 22 commodities from January 1984 until January 2022 with 457 observations. We estimate the permutation entropy (𝐸 𝑠 ) and Fisher information measure 𝐹 𝑠 using the Bandt & Pompe method (BPM). We employ the value of these two complexity measures to construct the Shannon-Fisher Causality Plane (SFCP), which allows us to evaluate the disorder and assess the randomness present in the monthly spot and futures prices time series for these commodities. Moreover, we apply 𝐸 𝑠 and 𝐹 𝑠 to classify the commodities using complexity hierarchy. We find that the commodities that are located farther from the random ideal position (𝐸 𝑠 = 1, 𝐹 𝑠 = 0) in the SFCP, such as Natural gas, Europe; Iron ore, cfr spot, and Potassium chloride are marked by lower entropy, higher predictability and lower efficiency. In contrast, the commodities that are located near the random ideal position (𝐸 𝑠 = 1, 𝐹 𝑠 = 0) in the SFCP, such as Crude oil -Brent; Crude oil -average, and Silver are characterized by higher entropy, lower predictability and higher efficiency. The K-means algorithm and the hierarchical cluster grouped commodities into only three distinct groups, which is a strong indication that commodity prices have very similar behaviour.

show abstract

“…(2019) for REITs (Real estate investment trusts). Persistence analysis helps to model price dynamics in the financial markets ( Boubaker et al., 2022 ) and to assess market efficiency ( Memon et al., 2022 ).…”

Section: Literature Reviewmentioning

confidence: 99%

Persistence in the passion investment market

Caporale

Gil-Alana

Plastun

et al. 2022

Heliyon

View full text Add to dashboard Cite

Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets

Cited by 20 publications

References 67 publications

Towards robust interdisciplinary modeling of global human-environmental dynamics

Towards robust interdisciplinary modeling of global human-environmental dynamics

Booms in commodities price: assessing disorder and similarity overeconomic cycles

Persistence in the passion investment market

Contact Info

Product

Resources

About