As pointed out by many researchers, replication plays a key role in the credibility of applied sciences and the confidence in all research findings. With regard, in particular, to energy finance and economics, replication papers are rare, probably because they are hampered by inaccessible data, but their aim is crucial. We consider two ways to avoid misleading results on the ostensible chaoticity of price series. The first one is represented by the proper mathematical definition of chaos and the related theoretical background, while the latter is represented by the hybrid approach that we propose here—i.e., consisting of considering the dynamical system underlying the price time series as a deterministic system with noise. We find that both chaotic and stochastic features coexist in the energy commodity markets, although the misuse of some tests in the established practice in the literature may say otherwise.

Mastroeni, L., Vellucci, P. (2022). Replication in Energy Markets: Use and Misuse of Chaos Tools. ENTROPY, 24(5), 701 [10.3390/e24050701].

Replication in Energy Markets: Use and Misuse of Chaos Tools

L. Mastroeni
;
P. Vellucci
2022-01-01

Abstract

As pointed out by many researchers, replication plays a key role in the credibility of applied sciences and the confidence in all research findings. With regard, in particular, to energy finance and economics, replication papers are rare, probably because they are hampered by inaccessible data, but their aim is crucial. We consider two ways to avoid misleading results on the ostensible chaoticity of price series. The first one is represented by the proper mathematical definition of chaos and the related theoretical background, while the latter is represented by the hybrid approach that we propose here—i.e., consisting of considering the dynamical system underlying the price time series as a deterministic system with noise. We find that both chaotic and stochastic features coexist in the energy commodity markets, although the misuse of some tests in the established practice in the literature may say otherwise.
2022
Mastroeni, L., Vellucci, P. (2022). Replication in Energy Markets: Use and Misuse of Chaos Tools. ENTROPY, 24(5), 701 [10.3390/e24050701].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11590/411244
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