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Caos en el mercado de commodities

Author

Listed:
  • Christian Espinosa Méndez

Abstract

Este artículo aplica seis técnicas y herramientas (análisis gráfico, gráfico de recurrencia,entropía de espacio temporal, coeficiente de Hurst, exponente de Lyapunov y dimensiónde correlación), a las series de retornos del cobre, oro, petróleo, plata, zinc, aluminio,plomo y níquel, con el fin de corroborar la existencia de un comportamiento caótico en elmercado de commodities. Se encuentra evidencia de que los mercados financieros secomportan de forma caótica en contra de la hipótesis de aleatoriedad. Se contrasta,igualmente, no-normalidad, no-aleatoriedad y no-linealidad. Los resultados encontradoscontradicen algunos de los supuestos básicos de la teoría financiera moderna.

Suggested Citation

  • Christian Espinosa Méndez, 2010. "Caos en el mercado de commodities," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, December.
    • Handle: RePEc:col:000093:007835
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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/53/v29n53_espinosa.pdf
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    More about this item

    Keywords

    gráfico de recurrencia; coeficiente de Hurst; exponente de Lyapunov; dimensión de correlación; test BDS; metales; caos; commodities.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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