book

Oral Communications
CO1
Tuesday, September 3rd
19:45
Analysis of a complex network: effects of
volatility among commodities in the short term
Marcelo de Oliveira Passos
UFPel
Mathiaz Schneid Tessmann
Lisa Mariane Bueno
Regis Augusto Ely
Márcio Taceli Taveira
The purpose of this paper is to generate a complex network from volatility spillover data between
ten of the major energy and agricultural commodities traded on the Chicago Commodity Exchange.
Spillover indices proposed by Diebold and Yilmaz (2012) are used, as well as non-parametric
complex network statistics distributed in a layout obtained by the Force Atlas 2 layout algorithm.
The results show that there is a concentration in the main cluster and that There are two cycles.
The main cluster is dense and has thicker edges, reflecting the most relevant volatility transmissions
between corn, wheat, soy, oats and rice assets. In the two cycles, with thinner edges than those of
the main cluster, are the oil-gas and coffee-sugar binomials. Cotton is the only asset that does not
belong to the two cycles or the main cluster, so it is the least relevant among the ten commodities
analyzed.
Keywords: Commodity market; Volatility spillovers; Complex network; Force Atlas 2; Diebold-
Yilmaz index
29