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

"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 W...

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Autores principales: Fernández Bariviera, Aurelio, Zunino, Luciano, Rosso, Osvaldo A.
Formato: Artículos de Publicaciones Periódicas acceptedVersion
Lenguaje:Inglés
Publicado: 2022
Materias:
PETROLEO
PRECIOS
ANALISIS DE SERIES DE TIEMPO
TEORIA DE LA INFORMACION
Acceso en línea:http://ri.itba.edu.ar/handle/123456789/3873
Aporte de:
Repositorio Institucional Instituto Tecnológico de Buenos Aires (ITBA) de Instituto Tecnológico de Buenos Aires (ITBA)
id I32-R138-123456789-3873
record_format dspace
spelling I32-R138-123456789-38732022-12-07T13:06:14Z Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers Fernández Bariviera, Aurelio Zunino, Luciano Rosso, Osvaldo A. PETROLEO PRECIOS ANALISIS DE SERIES DE TIEMPO TEORIA DE LA INFORMACION "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." 2022-05-10T15:25:37Z 2022-05-10T15:25:37Z 2016 Artículos de Publicaciones Periódicas info:eu-repo/semantics/acceptedVersion 1136-0593 http://ri.itba.edu.ar/handle/123456789/3873 en info:eu-repo/semantics/altIdentifier/doi/10.25102/fer.2016.01.03 application/pdf 1983-10-01 to 2015-11-11
institution Instituto Tecnológico de Buenos Aires (ITBA)
institution_str I-32
repository_str R-138
collection Repositorio Institucional Instituto Tecnológico de Buenos Aires (ITBA)
language Inglés
topic PETROLEO
PRECIOS
ANALISIS DE SERIES DE TIEMPO
TEORIA DE LA INFORMACION
spellingShingle PETROLEO
PRECIOS
ANALISIS DE SERIES DE TIEMPO
TEORIA DE LA INFORMACION
Fernández Bariviera, Aurelio
Zunino, Luciano
Rosso, Osvaldo A.
Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
topic_facet PETROLEO
PRECIOS
ANALISIS DE SERIES DE TIEMPO
TEORIA DE LA INFORMACION
description "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."
format Artículos de Publicaciones Periódicas
acceptedVersion
author Fernández Bariviera, Aurelio
Zunino, Luciano
Rosso, Osvaldo A.
author_facet Fernández Bariviera, Aurelio
Zunino, Luciano
Rosso, Osvaldo A.
author_sort Fernández Bariviera, Aurelio
title Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
title_short Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
title_full Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
title_fullStr Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
title_full_unstemmed Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
title_sort crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
publishDate 2022
url http://ri.itba.edu.ar/handle/123456789/3873
work_keys_str_mv AT fernandezbarivieraaurelio crudeoilmarketandgeopoliticaleventsananalysisbasedoninformationtheorybasedquantifiers
AT zuninoluciano crudeoilmarketandgeopoliticaleventsananalysisbasedoninformationtheorybasedquantifiers
AT rossoosvaldoa crudeoilmarketandgeopoliticaleventsananalysisbasedoninformationtheorybasedquantifiers
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