LUCIAN BEJAN

Dr. LUCIAN BEJAN


Research Focus & Metrics

Academic Career Length

8Years (2019-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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14 December 2019 in Entropy
Verified
Journal Article
Open access
PDF file
FAFernando Henrique Antunes de Araujo
Fernando Henrique Antunes de Araujo
LBLUCIAN BEJAN
LUCIAN BEJAN
Osvaldo RossoOsvaldo Rosso
Osvaldo Rosso
TSTatjana Stošić
Tatjana Stošić
Agricultural commodities are considered perhaps the most important commodities, as any abrupt increase in food prices has serious consequences on food security and welfare, especially in developing countries. In this work, we analyze predictability of Brazilian agricultural commodity prices during the period after 2007/2008 food crisis. We use information theory based method Complexity/Entropy causality plane (CECP) that was shown to be successful in the analysis of market efficiency and predictability. By estimating information quantifiers permutation entropy and statistical complexity, we associate to each commodity the position in CECP and compare their efficiency (lack of predictability) using the deviation from a random process. Coffee market shows highest efficiency (lowest predictability) while pork market shows lowest efficiency (highest predictability). By analyzing temporal evolution of commodities in the complexity–entropy causality plane, we observe that during the analyzed period (after 2007/2008 crisis) the efficiency of cotton, rice, and cattle markets increases, the soybeans market shows the decrease in efficiency until 2012, followed by the lower predictability and the increase of efficiency, while most commodities (8 out of total 12) exhibit relatively stable efficiency, indicating increased market integration in post-crisis period.