Zunino, Luciano; Tabak, Benjamin M.; Serinaldi, Francesco; … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 876-890
It is widely known that commodity markets are not totally efficient. Long-range dependence is present, and thus the celebrated Brownian motion of prices can be considered only as a first approximation. In this work we analyzed the predictability in commodity markets by using a novel approach...