Kristoufek, L. & Janda, K. & Zilberman, D.: Regime-dependent topological properties of biofuels networks
| Author(s): | prof. Ing. Karel Janda M.A., Dr., Ph.D., Zilberman, David prof. PhDr. Ladislav Krištoufek Ph.D., Zilberman, David |
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| Type: | Articles in journals with impact factor |
| Year: | 2013 |
| Number: | 0 |
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| Published in: | European Physical Journal B 86, art. 40 PDF |
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| Grants: | GACR P402/11/0948 Developing Analytical Framework for Energy Security: Time-Series Econometrics, Game Theory, Meta-Analysis and Theory of Regulation GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications |
| Abstract: | In this paper, we analyze the relationships between biodiesel, ethanol and related fuels and agri- cultural commodities with a use of minimal spanning trees and hierarchical trees. To distinguish between short term and long term effects, we construct the trees for different frequencies (weekly, monthly and quarterly). At lower frequencies, the system splits into two well separated branches – a fuels part and a food part. Biodiesel tends to the fuels branch and ethanol to the food branch. We especially concentrate on the links and comovements between the commodities for different stages of the market based on the level of prices of important commodities or groups of commodities. Such approach uncovers some more interesting results and, in general, confirms the separation of network into fuels and food for majority of analyzed cases. |
