WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 13, 2016
The Influence of Brazilian Crisis on Inefficiency and Nonlinearity on Soybean Prices
Authors: , , ,
Abstract: We investigated the effect of the 2007-2008 Brazilian financial crisis on nonlinearity and the prediction accuracy of artificial neural networks on monthly soybean prices in Brazil. To determine the exogenous variable, the commodity’s logarithm return was calculated. The best period for the series simulation was then identified, simulations carried out and the model validated. Model forecasting results were satisfactory for all samples. A Group Method of Data Handling (GMDH) methodology was capable of demonstrating the returns’ non-randomness, denoting marketing inefficiency, arbitrage opportunities and abnormal return to investors, especially after the financial crisis of 2007-2008.