Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2016. "Crude Oil Market And Geopolitical Events: An Analysis Based On Information-Theory-Based Quantifiers," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 21(1), pages 41-51, May.
References listed on IDEAS
- Risso, Wiston Adrián, 2008. "The informational efficiency and the financial crashes," Research in International Business and Finance, Elsevier, vol. 22(3), pages 396-408, September.
- Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016.
"Libor at crossroads: Stochastic switching detection using information theory quantifiers,"
Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 172-182.
- Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2016. "Libor at crossroads: stochastic switching detection using information theory quantifiers," Papers 1603.02874, arXiv.org.
- Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "A permutation Information Theory tour through different interest rate maturities: the Libor case," Papers 1509.00217, arXiv.org.
- An, Haizhong & Gao, Xiangyun & Fang, Wei & Ding, Yinghui & Zhong, Weiqiong, 2014. "Research on patterns in the fluctuation of the co-movement between crude oil futures and spot prices: A complex network approach," Applied Energy, Elsevier, vol. 136(C), pages 1067-1075.
- Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, vol. 51(C), pages 599-608.
- Philippatos, George C & Wilson, Charles J, 1974. "Information theory and risk in capital markets," Omega, Elsevier, vol. 2(4), pages 523-532, August.
- Brahmasrene, Tantatape & Huang, Jui-Chi & Sissoko, Yaya, 2014. "Crude oil prices and exchange rates: Causality, variance decomposition and impulse response," Energy Economics, Elsevier, vol. 44(C), pages 407-412.
- Bariviera, Aurelio Fernández, 2011. "The influence of liquidity on informational efficiency: The case of the Thai Stock Market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4426-4432.
- Sun, Jingwei & Shi, Wendong, 2015. "Breaks, trends, and unit roots in spot prices for crude oil and petroleum products," Energy Economics, Elsevier, vol. 50(C), pages 169-177.
- Rosso, Osvaldo A. & De Micco, Luciana & Plastino, A. & Larrondo, Hilda A., 2010. "Info-quantifiers’ map-characterization revisited," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4604-4612.
- Myles M. Dryden, 1968. "Short-Term Forecasting Of Share Prices: An Information Theory Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 15(1), pages 227-249, February.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Zunino, Luciano & Fernández Bariviera, Aurelio & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2012. "On the efficiency of sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4342-4349.
- Zunino, Luciano & Tabak, Benjamin M. & Serinaldi, Francesco & Zanin, Massimiliano & Pérez, Darío G. & Rosso, Osvaldo A., 2011. "Commodity predictability analysis with a permutation information theory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 876-890.
- Wiston Adrian Risso, 2009. "The informational efficiency: the emerging markets versus the developed markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(5), pages 485-487.
- Lamberti, P.W & Martin, M.T & Plastino, A & Rosso, O.A, 2004. "Intensive entropic non-triviality measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 334(1), pages 119-131.
- Bariviera, A.F. & Guercio, M. Belén & Martinez, Lisana B., 2012. "A comparative analysis of the informational efficiency of the fixed income market in seven European countries," Economics Letters, Elsevier, vol. 116(3), pages 426-428.
- De Micco, L. & González, C.M. & Larrondo, H.A. & Martin, M.T. & Plastino, A. & Rosso, O.A., 2008. "Randomizing nonlinear maps via symbolic dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3373-3383.
- Martin, M.T. & Plastino, A. & Rosso, O.A., 2006. "Generalized statistical complexity measures: Geometrical and analytical properties," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 439-462.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Su, Chi-Wei & Khan, Khalid & Tao, Ran & Nicoleta-Claudia, Moldovan, 2019. "Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia," Energy, Elsevier, vol. 187(C).
- Li, Sufang & Tu, Dalun & Zeng, Yan & Gong, Chenggang & Yuan, Di, 2022. "Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data," Energy Economics, Elsevier, vol. 113(C).
- Parker, Edgar, 2017. "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper 80036, University Library of Munich, Germany.
- Anis Hoayek & Hassan Hamie & Hans Auer, 2020. "Modeling the Price Stability and Predictability of Post Liberalized Gas Markets Using the Theory of Information," Post-Print emse-03604655, HAL.
- Su, Chi-Wei & Khan, Khalid & Tao, Ran & Umar, Muhammad, 2020. "A review of resource curse burden on inflation in Venezuela," Energy, Elsevier, vol. 204(C).
- Wang, Xinghua & Lee, Zhengzheng & Wu, Shuang & Qin, Meng, 2023. "Exploring the vital role of geopolitics in the oil market: The case of Russia," Resources Policy, Elsevier, vol. 85(PB).
- Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.
- Monge, Manuel & Romero Rojo, María Fátima & Gil-Alana, Luis Alberiko, 2023. "The impact of geopolitical risk on the behavior of oil prices and freight rates," Energy, Elsevier, vol. 269(C).
- Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016.
"Libor at crossroads: Stochastic switching detection using information theory quantifiers,"
Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 172-182.
- Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2016. "Libor at crossroads: stochastic switching detection using information theory quantifiers," Papers 1603.02874, arXiv.org.
- Aurelio F. Bariviera & Luciano Zunino & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "Efficiency and credit ratings: a permutation-information-theory analysis," Papers 1509.01839, arXiv.org.
- Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.
- Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
- Aurelio Fernandez Bariviera & María Belén Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015.
"The (in)visible hand in the Libor market: an information theory approach,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(8), pages 1-9, August.
- Aurelio F. Bariviera & M. Bel'en Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "The (in)visible hand in the Libor market: an Information Theory approach," Papers 1508.04748, arXiv.org.
- Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
- Siokis, Fotios M., 2018. "Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 266-275.
- Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017.
"Some stylized facts of the Bitcoin market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
- Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
- Aurelio Fernandez Bariviera & M. Bel'en Guercio & Lisana B. Martinez, 2015. "Data manipulation detection via permutation information theory quantifiers," Papers 1501.04123, arXiv.org.
- Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018.
"The impact of the financial crisis on the long-range memory of European corporate bond and stock markets,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
- Lisana B. Martinez & M. Belen Guercio & Aurelio F. Bariviera & Antonio Terce~no, 2016. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Papers 1605.06700, arXiv.org.
- Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Tabak, Benjamin M., 2021. "Insights from the (in)efficiency of Chinese sectoral indices during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
- Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018.
"Spurious Seasonality Detection: A Non-Parametric Test Proposal,"
Econometrics, MDPI, vol. 6(1), pages 1-15, January.
- Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious seasonality detection: a non-parametric test proposal," Papers 1801.07941, arXiv.org.
- Fernandes, Leonardo H.S. & Araújo, Fernando H.A., 2020. "Taxonomy of commodities assets via complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
- Tsai, Hui-Ju, 2014. "The informational efficiency of bonds and stocks: The role of institutional sized bond trades," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 34-45.
- Zunino, Luciano & Ribeiro, Haroldo V., 2016. "Discriminating image textures with the multiscale two-dimensional complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 679-688.
- De Micco, Luciana & Fernández, Juana Graciela & Larrondo, Hilda A. & Plastino, Angelo & Rosso, Osvaldo A., 2012. "Sampling period, statistical complexity, and chaotic attractors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2564-2575.
- Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.
- Zunino, Luciano & Fernández Bariviera, Aurelio & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2012. "On the efficiency of sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4342-4349.
- Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2010. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1891-1901.
More about this item
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2017-04-23 (Energy Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1704.04442. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.