ANÁLISE MULTIFRACTAL DAS FLUTUAÇÕES EM MERCADOS FUTUROS DE CAFÉ: IMPLICAÇÕES PARA A EFICIÊNCIA DO MERCADO
Keywords:
Efficient Market, Price and Volume Fluctuation, Commodity, Coffee, Multifractal Analysis.Abstract
This study investigated the efficiency of coffee futures markets, both in the international context (ICE Coffee) and in the Brazilian context (B3 Coffee), through the application of multifractal methods to price fluctuations and traded volumes. The analysis revealed complex multifractal behaviors, with evidence of long-term memory and temporal dependencies, challenging the random walk hypothesis. The traded volume, in particular, proved to be an important predictive indicator, suggesting opportunities for market exploitation. The B3 market exhibited greater multifractal complexity than the ICE market, which presents more arbitrage opportunities but also increases predictive challenges. These results are more aligned with the Adaptive Market Hypothesis (AMH), which recognizes exploitable inefficiencies. The research contributes by expanding the knowledge of interdependence in commodity markets and offers a robust methodology for analyzing complex markets. Practically, the findings provide valuable insights for researchers, investors, traders, and policymakers, suggesting more effective investment strategies tailored to the complexities of these markets.
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