The Hurst Exponent as an Indicator to Anticipate Agricultural Commodity Prices

Anticipating and understanding fluctuations in the agri-food market is very important in order to implement policies that can assure fair prices and food availability. In this paper, we contribute to the understanding of this market by exploring its efficiency and whether the local Hurst exponent ca...

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Bibliographic Details
Published in:Entropy (Basel, Switzerland) Switzerland), 2023-03, Vol.25 (4), p.579
Main Authors: Pérez-Sienes, Leticia, Grande, Mar, Losada, Juan Carlos, Borondo, Javier
Format: Article
Language:English
Subjects:
agri-food
Agricultural commodities
Agricultural industry
Analysis
Commodities
Commodity markets
Commodity price indexes
Commodity prices
efficient market
Efficient markets
Farm produce
Food
Hurst
market
prices
Prices and rates
Pricing
Securities markets
Stock exchanges
Time series
Trends
Wavelet transforms
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Summary:Anticipating and understanding fluctuations in the agri-food market is very important in order to implement policies that can assure fair prices and food availability. In this paper, we contribute to the understanding of this market by exploring its efficiency and whether the local Hurst exponent can help to anticipate its trend or not. We have analyzed the time series of the price for different agri-commodities and classified each day into persistent, anti-persistent, or white-noise. Next, we have studied the probability and speed to mean reversion for several rolling windows. We found that in general mean reversion is more probable and occurs faster during anti-persistent periods. In contrast, for most of the rolling windows we could not find a significant effect of persistence in mean reversion. Hence, we conclude that the Hurst exponent can help to anticipate the future trend and range of the expected prices in this market.
ISSN:1099-4300
1099-4300
DOI:10.3390/e25040579