Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers

Fernández Bariviera, Aurelio; Zunino, Luciano; Rosso, Osvaldo A.

artículo de publicación periódica.page.titleprefix
Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers

dc.contributor.author	Fernández Bariviera, Aurelio
dc.contributor.author	Zunino, Luciano
dc.contributor.author	Rosso, Osvaldo A.
dc.coverage.temporal	1983-10-01 to 2015-11-11
dc.date.accessioned	2022-05-10T15:25:37Z
dc.date.available	2022-05-10T15:25:37Z
dc.date.issued	2016
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."	en
dc.identifier.issn	1136-0593
dc.identifier.uri	http://ri.itba.edu.ar/handle/123456789/3873
dc.language.iso	en	en
dc.relation	info:eu-repo/semantics/altIdentifier/doi/10.25102/fer.2016.01.03
dc.subject	PETROLEO	es
dc.subject	PRECIOS	es
dc.subject	ANALISIS DE SERIES DE TIEMPO	es
dc.subject	TEORIA DE LA INFORMACION	es
dc.title	Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers	en
dc.type	Artículos de Publicaciones Periódicas	es
dc.type	info:eu-repo/semantics/acceptedVersion
dspace.entity.type	Artículo de Publicación Periódica
itba.description.filiation	Fil: Fernández Bariviera, Aurelio. Universitat Rovira i Virgili; España.
itba.description.filiation	Fil: Zunino, Luciano. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina.
itba.description.filiation	Fil: Zunino, Luciano. Facultad de Ingeniería. Universidad Nacional de La Plata; Argentina.
itba.description.filiation	Fil: Rosso, Osvaldo A. Universidade Federal de Alagoas; Brasil.
itba.description.filiation	Fil: Rosso, Osvaldo A. Instituto Tecnológico de Buenos Aires; Argentina.
itba.description.filiation	Fil: Rosso, Osvaldo A. Universidad de los Andes; Chile.