کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5064090 1476710 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the predictability of energy commodity markets by an entropy-based computational method
ترجمه فارسی عنوان
بر پیش بینی بازار های انرژی کالاها با روش محاسباتی مبتنی بر آنتروپی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی
This paper proposes a novel computational method for assessing the predictability of commodity market time series, by predicting the entropy of the series under investigation. Assessing the predictability of a time series is the first mandatory step in order to further apply low-risk and efficient price forecasting methods. According to conventional entropy-based analysis (where the entropy is always ex-post estimated), high entropy values characterize unpredictable series, while more stable series exhibits lesser entropy values. Here, we predict (i.e. ex-ante) the entropy regarding the future behavior of a series, based on the observation of historical data. Our prediction is performed according to the optimum least squares minimization algorithm, usually used in many computational aspects of management science. Preliminary results, applied to energy commodity futures, show the effectiveness of the proposed method for application to energy market time series.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 54, February 2016, Pages 302-312
نویسندگان
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