Multifractalidade e complexidade sobre commodities do agronegócio brasileiro
Multifractality and complexity of the Brazilian agribusiness commodities
| dc.creator | Jale, Jader da Silva | |
| dc.creator | Stpŏsíc, Borko | |
| dc.creator | Stpŏsíc, Tatijana | |
| dc.creator | Jale, Jader da Silva | |
| dc.creator | Stpŏsíc, Borko | |
| dc.creator | Stpŏsíc, Tatijana | |
| dc.date | 2016-06-28 | |
| dc.date | 2017-08-01T20:09:51Z | |
| dc.date | 2017-08-01T20:09:51Z | |
| dc.date | 2017-08-01 | |
| dc.date.accessioned | 2023-09-28T19:58:27Z | |
| dc.date.available | 2023-09-28T19:58:27Z | |
| dc.identifier | JALE, J. S.; STPŎSÍC, B.; STPŎSÍC, T. Multifractalidade e complexidade sobre commodities do agronegócio brasileiro. Revista Brasileira de Biometria, Lavras, v. 34, n. 2, p. 258-278, jun. 2016. | |
| dc.identifier | http://repositorio.ufla.br/jspui/handle/1/13956 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/9041428 | |
| dc.description | Neste trabalho investigamos o comportamento de séries temporais sobre preços de fechamento diário de algumas commodities do agronegócio brasileiro. Analisamos os comportamentos da multifractalidade e da complexidade das séries registradas entre 2006 e 2014. Utilizamos os métodos Sample Entropy e Cross-Sample Entropy para investigar a complexidade e propomos o método Sample Entropy em Janela Móvel de Tempo para avaliar a dinâmica da complexidade dessas séries. Investigamos também a multifractalidade com o método Multifractal Detrended Fluctuation Analysis (MF-DFA). Concluímos que ambas as análises podem ser uteis para avaliar a dinâmica do agronegócio brasileiro diante no cenário econômico mundial. | |
| dc.description | ABSTRACT: In this paper we investigate the time series behavior on daily closing prices of some commodities of Brazilian agribusiness. We analyze the behavior of multifractality and complexity of the series recorded between 2006 and 2014. We use the Sample Entropy and Cross-Sample Entropy methods to analyze the complexity and propose the Sample Entropy method in a moving time window to assess the dynamics of the complexity of these series. We also investigate the multifractality using the Multifractal Detrended Fluctuation Analysis (MF-DFA) method. We conclude that both analyzes can be useful in assessing the dynamics of Brazilian agribusiness on the world economic scenario. | |
| dc.format | application/pdf | |
| dc.format | application/pdf | |
| dc.language | por | |
| dc.publisher | Universidade Federal de Lavras | |
| dc.relation | http://www.biometria.ufla.br/index.php/BBJ/article/view/140/43 | |
| dc.rights | Copyright (c) 2016 Jader da Silva JALE, Borko STPŎSÍC, Tatijana STŎSÍC | |
| dc.rights | Attribution 4.0 International | |
| dc.rights | http://creativecommons.org/licenses/by/4.0/ | |
| dc.source | REVISTA BRASILEIRA DE BIOMETRIA; Vol 34 No 2 (2016); 258-278 | |
| dc.source | 1983-0823 | |
| dc.subject | Sample entropy | |
| dc.subject | Cross-sample entropy | |
| dc.subject | Multifractal detrended fluctuation analysis (MF-DFA) | |
| dc.subject | Correlação-cruzada | |
| dc.subject | Janela móvel de tempo | |
| dc.subject | Cross-correlation | |
| dc.subject | Rolling window | |
| dc.title | Multifractalidade e complexidade sobre commodities do agronegócio brasileiro | |
| dc.title | Multifractality and complexity of the Brazilian agribusiness commodities | |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion | |
| dc.type | Peer-reviewed Article |