0420811 20240103203420.320131218235959.9 000333778400007 84890847491 10.1016/j.eneco.2013.12.001 7 s. P cav_un_epca*02504260140-9883421 (2014)50-57Elsevier commodities efficiency entropy long-term memory fractal dimension cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101230 Vošvrda Miloslav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2013/E/kristoufek-0420811.pdf GAP402/11/0948 GA ČR CZ cav_un_auth*0284442 GA402/09/0965 GA ČR cav_un_auth*0253176 We analyze the market efficiency of 25 commodity futures across various groups – metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat and coffee. On the other end of the ranking, we detect live cattle and feeder cattle. The efficiency is also found to be characteristic for specific groups of commodities – energy commodities being the most efficient and the other agricultural commodities (formed mainly of livestock) the least efficient groups. We also discuss contributions of the long-term memory, fractal dimension and approximate entropy to the total inefficiency. Last but not least, we come across the nonstandard relationship between the fractal dimension and Hurst exponent. For the analyzed dataset, the relationship between these two is positive meaning that local persistence (trending) is connected to global anti-persistence. 2015 AH 2 4 A 4a 20231122135945.1 RVO:67985556 http://hdl.handle.net/11104/0227928 cav_un_auth*0295067 UK Univerzita Karlova v Praze CZ Praha 1 ECONOMICS 1.146 2.850 Q1 68.788 92.342 Q2 Q1* 2014 Soubory v repozitáři: kristoufek-0420811.pdf 84890847491 SCOPUS 000333778400007 WOS cav_un_epca*0250426 Energy Economics 0140-9883 1873-6181 Roč. 42 č. 1 2014 50 57 Elsevier