{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,17]],"date-time":"2026-03-17T00:29:48Z","timestamp":1773707388176,"version":"3.50.1"},"reference-count":36,"publisher":"MDPI AG","issue":"4","license":[{"start":{"date-parts":[[2023,3,28]],"date-time":"2023-03-28T00:00:00Z","timestamp":1679961600000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100004837","name":"Spanish Ministry of Science and Innovation","doi-asserted-by":"publisher","award":["PID2021-122711NB-C21"],"award-info":[{"award-number":["PID2021-122711NB-C21"]}],"id":[{"id":"10.13039\/501100004837","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004837","name":"Spanish Ministry of Science and Innovation","doi-asserted-by":"publisher","award":["DIN2018-010114"],"award-info":[{"award-number":["DIN2018-010114"]}],"id":[{"id":"10.13039\/501100004837","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004837","name":"Spanish Ministry of Science and Innovation","doi-asserted-by":"publisher","award":["IND2022\/TIC-23716"],"award-info":[{"award-number":["IND2022\/TIC-23716"]}],"id":[{"id":"10.13039\/501100004837","id-type":"DOI","asserted-by":"publisher"}]},{"name":"Research and Technological Innovation of the Community of Madrid (Spain)","award":["PID2021-122711NB-C21"],"award-info":[{"award-number":["PID2021-122711NB-C21"]}]},{"name":"Research and Technological Innovation of the Community of Madrid (Spain)","award":["DIN2018-010114"],"award-info":[{"award-number":["DIN2018-010114"]}]},{"name":"Research and Technological Innovation of the Community of Madrid (Spain)","award":["IND2022\/TIC-23716"],"award-info":[{"award-number":["IND2022\/TIC-23716"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Entropy"],"abstract":"<jats:p>Anticipating and understanding fluctuations in the agri-food market is very important in order to implement policies that can assure fair prices and food availability. In this paper, we contribute to the understanding of this market by exploring its efficiency and whether the local Hurst exponent can help to anticipate its trend or not. We have analyzed the time series of the price for different agri-commodities and classified each day into persistent, anti-persistent, or white-noise. Next, we have studied the probability and speed to mean reversion for several rolling windows. We found that in general mean reversion is more probable and occurs faster during anti-persistent periods. In contrast, for most of the rolling windows we could not find a significant effect of persistence in mean reversion. Hence, we conclude that the Hurst exponent can help to anticipate the future trend and range of the expected prices in this market.<\/jats:p>","DOI":"10.3390\/e25040579","type":"journal-article","created":{"date-parts":[[2023,3,28]],"date-time":"2023-03-28T02:58:21Z","timestamp":1679972301000},"page":"579","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":10,"title":["The Hurst Exponent as an Indicator to Anticipate Agricultural Commodity Prices"],"prefix":"10.3390","volume":"25","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8733-2443","authenticated-orcid":false,"given":"Leticia","family":"P\u00e9rez-Sienes","sequence":"first","affiliation":[{"name":"Grupo de Sistemas Complejos, ETS Ingenier\u00eda Agron\u00f3mica, Alimentaria y de Biosistemas, 28040 Madrid, Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Mar","family":"Grande","sequence":"additional","affiliation":[{"name":"Grupo de Sistemas Complejos, ETS Ingenier\u00eda Agron\u00f3mica, Alimentaria y de Biosistemas, 28040 Madrid, Spain"},{"name":"AgrowingData, Navarro Rodrigo 2 AT, 04001 Almer\u00eda, Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4373-603X","authenticated-orcid":false,"given":"Juan Carlos","family":"Losada","sequence":"additional","affiliation":[{"name":"Grupo de Sistemas Complejos, ETS Ingenier\u00eda Agron\u00f3mica, Alimentaria y de Biosistemas, 28040 Madrid, Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3774-2521","authenticated-orcid":false,"given":"Javier","family":"Borondo","sequence":"additional","affiliation":[{"name":"Grupo de Sistemas Complejos, ETS Ingenier\u00eda Agron\u00f3mica, Alimentaria y de Biosistemas, 28040 Madrid, Spain"},{"name":"AgrowingData, Navarro Rodrigo 2 AT, 04001 Almer\u00eda, Spain"},{"name":"Departamento de Gesti\u00f3n Empresarial, Universidad Pontificia de Comillas ICADE, Alberto Aguilera 23, 28015 Madrid, Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2023,3,28]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"383","DOI":"10.2307\/2325486","article-title":"Efficient capital markets: A review of theory and empirical work","volume":"25","author":"Fama","year":"1970","journal-title":"J. Financ."},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"1575","DOI":"10.1111\/j.1540-6261.1991.tb04636.x","article-title":"Efficient capital markets: II","volume":"46","author":"Fama","year":"1991","journal-title":"J. Financ."},{"key":"ref_3","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1016\/0304-405X(77)90006-X","article-title":"Long-term dependence in common stock returns","volume":"4","author":"Greene","year":"1977","journal-title":"J. Financ. Econ."},{"key":"ref_4","first-page":"27","article-title":"Rescaled range analysis: Approaches for the financial practitioners, Part 3","volume":"4","author":"Hampton","year":"1996","journal-title":"Neuro Vest J."},{"key":"ref_5","first-page":"1","article-title":"The Long Memory of the Efficient Market","volume":"8","author":"Lillo","year":"2004","journal-title":"Stud. Nonlinear Dyn. Econom."},{"key":"ref_6","doi-asserted-by":"crossref","first-page":"253","DOI":"10.1016\/S0165-1765(96)00935-4","article-title":"Long-term dependence in stock returns","volume":"53","author":"Barkoulas","year":"1996","journal-title":"Econ. Lett."},{"key":"ref_7","doi-asserted-by":"crossref","unstructured":"Wright, J.H. (2000). Long memory in emerging market stock returns. FRB Int. Financ., Available online: https:\/\/www.federalreserve.gov\/econres\/ifdp\/long-memory-in-emerging-market-stock-returns.htm.","DOI":"10.2139\/ssrn.231815"},{"key":"ref_8","doi-asserted-by":"crossref","first-page":"1763","DOI":"10.1080\/13504850701663231","article-title":"Long memory in stock returns: Evidence from the major emerging central European stock markets","volume":"16","author":"Kasman","year":"2009","journal-title":"Appl. Econ. Lett."},{"key":"ref_9","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1080\/02664760802582280","article-title":"Estimating the hurst parameter in financial time series via heuristic approaches","volume":"37","author":"Cheong","year":"2010","journal-title":"J. Appl. Stat."},{"key":"ref_10","doi-asserted-by":"crossref","first-page":"1279","DOI":"10.2307\/2938368","article-title":"Long-Term Memory in Stock Market Prices","volume":"59","author":"Lo","year":"1991","journal-title":"Econometrica"},{"key":"ref_11","unstructured":"Lo, A.W., and MacKinlay, A.C. (1999). Long-Term Memory in Stock Market Prices. A Non-Random Walk Down Wall Street, Princeton University Press. [1st ed.]."},{"key":"ref_12","doi-asserted-by":"crossref","first-page":"827","DOI":"10.1016\/j.jbankfin.2004.08.004","article-title":"Long term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development","volume":"29","author":"Aste","year":"2005","journal-title":"J. Bank. Financ."},{"key":"ref_13","doi-asserted-by":"crossref","first-page":"527","DOI":"10.1093\/rfs\/2.4.527","article-title":"On technical analysis","volume":"2","author":"Brown","year":"1989","journal-title":"Rev. Financ. Stud."},{"key":"ref_14","doi-asserted-by":"crossref","unstructured":"Park, C.H., and Irwin, S.H. (2023, March 27). The Profitability of Technical Analysis: A Review. 2004. AgMAS Project Research Report No. 2004-04. Available online: http:\/\/dx.doi.org\/10.2139\/ssrn.603481.","DOI":"10.2139\/ssrn.603481"},{"key":"ref_15","doi-asserted-by":"crossref","first-page":"770","DOI":"10.1061\/TACEAT.0006518","article-title":"Long Term storage capacity of reservoirs","volume":"116","author":"Hurst","year":"1951","journal-title":"Trans. Am. Soc. Civ. Eng."},{"key":"ref_16","doi-asserted-by":"crossref","first-page":"225","DOI":"10.2307\/1937966","article-title":"When can price be arbitraged efficiently? A limit to the validity of the random walk and martingale models","volume":"53","author":"Mandelbrot","year":"1971","journal-title":"Rev. Econ. Stat."},{"key":"ref_17","first-page":"259","article-title":"Statistical methodology for nonperiodic cycles from covariance to R\/S analysis","volume":"1","author":"Mandelbrot","year":"1972","journal-title":"Ann. Econ. Soc. Meas."},{"key":"ref_18","doi-asserted-by":"crossref","first-page":"967","DOI":"10.1029\/WR005i005p00967","article-title":"Robustness of the rescaled range R\/S in the measurement of noncyclic long-run statistical dependence","volume":"5","author":"Mandelbrot","year":"1969","journal-title":"Water Resour."},{"key":"ref_19","doi-asserted-by":"crossref","first-page":"1685","DOI":"10.1103\/PhysRevE.49.1685","article-title":"Mosaic organization of DNA nucleotides","volume":"49","author":"Peng","year":"1994","journal-title":"Phys. Rev. E"},{"key":"ref_20","doi-asserted-by":"crossref","first-page":"011114","DOI":"10.1103\/PhysRevE.64.011114","article-title":"Effect of trends on detrended fluctuation analysis","volume":"64","author":"Hu","year":"2001","journal-title":"Phys. Rev. E"},{"key":"ref_21","doi-asserted-by":"crossref","first-page":"2779","DOI":"10.1103\/PhysRevE.58.2779","article-title":"Determination of the Hurst exponent by use of wavelet transforms","volume":"58","author":"Simonsen","year":"1998","journal-title":"Phys. Rev. E"},{"key":"ref_22","doi-asserted-by":"crossref","first-page":"2730","DOI":"10.1103\/PhysRevA.44.2730","article-title":"Multifractality of self affine fractals","volume":"44","author":"Barabasi","year":"1991","journal-title":"Phys. Rev. A"},{"key":"ref_23","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1016\/j.ribaf.2018.01.002","article-title":"Persistence in the cryptocurrency market","volume":"46","author":"Caporale","year":"2018","journal-title":"Res. Int. Bus. Financ."},{"key":"ref_24","doi-asserted-by":"crossref","unstructured":"Dimitrova, V., Fern\u00e1ndez-Mart\u00ednez, M., S\u00e1nchez-Granero, M.A., and Trinidad Segovia, J.E. (2019). Some comments on Bitcoin market (in)efficiency. PLoS ONE, 14.","DOI":"10.1371\/journal.pone.0219243"},{"key":"ref_25","doi-asserted-by":"crossref","first-page":"64","DOI":"10.1016\/j.chaos.2018.02.015","article-title":"Time-varying Hurst-H\u00f6lder exponents and the dynamics of (in)efficiency in stock markets","volume":"109","author":"Bianchi","year":"2018","journal-title":"Chaos Solitons Fractals"},{"key":"ref_26","doi-asserted-by":"crossref","first-page":"349","DOI":"10.1016\/j.chaos.2004.02.005","article-title":"Ranking efficiency for emerging markets","volume":"22","author":"Cajueiro","year":"2004","journal-title":"Chaos Solitons Fractals"},{"key":"ref_27","doi-asserted-by":"crossref","first-page":"39","DOI":"10.1016\/j.physa.2017.06.032","article-title":"Introducing Hurst exponent in pair trading","volume":"488","year":"2017","journal-title":"Physica A"},{"key":"ref_28","doi-asserted-by":"crossref","first-page":"433","DOI":"10.1002\/(SICI)1096-9934(199706)17:4<433::AID-FUT4>3.0.CO;2-I","article-title":"Searching for fractal structure in agricultural future markets","volume":"17","author":"Corazza","year":"1997","journal-title":"J. Future Mark."},{"key":"ref_29","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1002\/(SICI)1096-9934(199704)17:2<161::AID-FUT2>3.0.CO;2-H","article-title":"Fractional dynamics in international commodity prices","volume":"17","author":"Barkoulus","year":"1997","journal-title":"J. Future Mark."},{"key":"ref_30","doi-asserted-by":"crossref","first-page":"155","DOI":"10.1016\/j.physa.2006.11.022","article-title":"A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodities prices","volume":"377","author":"Turvey","year":"2007","journal-title":"Physica A A Stat. Mech. Its Appl."},{"key":"ref_31","unstructured":"Allen, P. (2004). Together at the Table: Sustainability and Sustenance in the American Agrifood System, Penn State Press."},{"key":"ref_32","doi-asserted-by":"crossref","unstructured":"Borsellino, V., Schimmenti, E., and El Bilali, H. (2020). Agri-food markets towards sustainable patterns. Sustainability, 12.","DOI":"10.3390\/su12062193"},{"key":"ref_33","doi-asserted-by":"crossref","first-page":"045103","DOI":"10.1103\/PhysRevE.66.045103","article-title":"Different scaling behaviors of commodity spot and future prices","volume":"66","author":"Matia","year":"2002","journal-title":"Phys. Rev. E"},{"key":"ref_34","doi-asserted-by":"crossref","first-page":"422","DOI":"10.1209\/epl\/i2003-00194-y","article-title":"Multifractal properties of price fluctuations of stocks and commodities","volume":"61","author":"Matia","year":"2003","journal-title":"Eutophys. Lett."},{"key":"ref_35","doi-asserted-by":"crossref","first-page":"2739","DOI":"10.1016\/j.physa.2010.01.040","article-title":"Correlations and cross-correlations in the Brazilian agrarian commodities and stocks","volume":"389","author":"Siqueira","year":"2010","journal-title":"Phys. A Stat. Mech. Its Appl."},{"key":"ref_36","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1016\/0304-405X(88)90021-9","article-title":"Mean reversion in stock prices: Evidence and Implications","volume":"22","author":"Poterba","year":"1998","journal-title":"J. Financ. Econ."}],"container-title":["Entropy"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.mdpi.com\/1099-4300\/25\/4\/579\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,10]],"date-time":"2025-10-10T19:04:43Z","timestamp":1760123083000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.mdpi.com\/1099-4300\/25\/4\/579"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,3,28]]},"references-count":36,"journal-issue":{"issue":"4","published-online":{"date-parts":[[2023,4]]}},"alternative-id":["e25040579"],"URL":"https:\/\/doi.org\/10.3390\/e25040579","relation":{},"ISSN":["1099-4300"],"issn-type":[{"value":"1099-4300","type":"electronic"}],"subject":[],"published":{"date-parts":[[2023,3,28]]}}}