37 citations · 70 across the 17 of their papers we have counts for
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q-fin.ST2016★ 1 cited
"Chaos" in energy and commodity markets: a controversial matter
Loretta Mastroeni, Pierluigi Vellucci
We test whether the futures prices of some commodity and energy markets are determined by stochastic rules or exhibit nonlinear deterministic endogenous fluctuations. As for the me…
q-fin.ST2016
"Butterfly Effect" vs Chaos in Energy Futures Markets
Loretta Mastroeni, Pierluigi Vellucci
In this paper we test for the sensitive dependence on initial conditions (the so called "butterfly effect") of energy futures time series (heating oil, natural gas), and thus the d…