Abstract:This paper provides an overview of the commodities market, considering three relevant attributes: predictability, similarity, and efficiency. We examine the monthly spot and futures prices time series for 22 commodities from January 1984 until January 2022 with 457 observations. We estimate the permutation entropy (𝐸 𝑠 ) and Fisher information measure 𝐹 𝑠 using the Bandt & Pompe method (BPM). We employ the value of these two complexity measures to construct the Shannon-Fisher Causality Plane (SFCP), which … Show more
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