Market efficiency of the crude palm oil: Evidence from quantum harmonic oscillator

This study examines the weak-form efficient market hypothesis of the crude palm oil market by adopting the quantum harmonic oscillator. This approach allows us to analyze market efficiency by estimating one parameter: the probability of finding the market in a ground state. Our results confirm that...

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Bibliographic Details
Published in:Journal of physics. Conference series 2020-07, Vol.1593 (1), p.12037
Main Authors: Lee, G H, Joo, K, Ahn, K
Format: Article
Language:English
Subjects:
Efficiency
Efficient markets
Harmonic oscillators
Palm oil
Parameter estimation
Physics
Vegetable oils
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Summary:This study examines the weak-form efficient market hypothesis of the crude palm oil market by adopting the quantum harmonic oscillator. This approach allows us to analyze market efficiency by estimating one parameter: the probability of finding the market in a ground state. Our results confirm that the crude palm oil market is more efficient than the West Texas Intermediate crude oil market. We explain the greater market efficiency comes from a small proportion of speculative transactions, resulting from tight market operation policies.
ISSN:1742-6588
1742-6596
DOI:10.1088/1742-6596/1593/1/012037