Artículo de Publicación Periódica:
Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers

dc.contributor.authorFernández Bariviera, Aurelio
dc.contributor.authorZunino, Luciano
dc.contributor.authorRosso, Osvaldo A.
dc.coverage.temporal1983-10-01 to 2015-11-11
dc.date.accessioned2022-05-10T15:25:37Z
dc.date.available2022-05-10T15:25:37Z
dc.date.issued2016
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.issn1136-0593
dc.identifier.urihttp://ri.itba.edu.ar/handle/123456789/3873
dc.language.isoenen
dc.relationinfo:eu-repo/semantics/altIdentifier/doi/10.25102/fer.2016.01.03
dc.subjectPETROLEOes
dc.subjectPRECIOSes
dc.subjectANALISIS DE SERIES DE TIEMPOes
dc.subjectTEORIA DE LA INFORMACIONes
dc.titleCrude oil market and geopolitical events: an analysis based on information-theory-based quantifiersen
dc.typeArtículos de Publicaciones Periódicases
dc.typeinfo:eu-repo/semantics/acceptedVersion
dspace.entity.typeArtículo de Publicación Periódica
itba.description.filiationFil: Fernández Bariviera, Aurelio. Universitat Rovira i Virgili; España.
itba.description.filiationFil: Zunino, Luciano. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina.
itba.description.filiationFil: Zunino, Luciano. Facultad de Ingeniería. Universidad Nacional de La Plata; Argentina.
itba.description.filiationFil: Rosso, Osvaldo A. Universidade Federal de Alagoas; Brasil.
itba.description.filiationFil: Rosso, Osvaldo A. Instituto Tecnológico de Buenos Aires; Argentina.
itba.description.filiationFil: Rosso, Osvaldo A. Universidad de los Andes; Chile.
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