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Journal ArticleDOI

Multifractal Hurst analysis of crude oil prices

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TLDR
In this article, the daily records of international crude oil prices are studied using multifractal analysis methods and the existence of two characteristic time scales in the order of weeks and quarters is discovered and the corresponding prices dynamics are extracted using moving-average-based filtering.
Abstract
Daily records of international crude oil prices are studied using multifractal analysis methods. Rescaled range Hurst analysis provides evidence that the crude oil market is a persistent process with long-run memory effects. On the other hand, height–height correlation analysis reveals evidence of multifractal structures in the sense that the crude oil dynamics displays mixing of (rough) Hurst exponents. The existence of two characteristic time scales in the order of weeks and quarters is discovered and the corresponding prices dynamics are extracted using moving-average-based filtering. These results seem to demonstrate that the crude oil market is consistent with the random-walk assumption only at time scales of the order of days to weeks. A plausible oil price formation mechanism is discussed in terms of the market dynamics at three different time scales.

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Citations
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A new forecasting model with wrapper-based feature selection approach using multi-objective optimization technique for chaotic crude oil time series

TL;DR: The obtained empirical results show that the proposed forecasting model can capture the nonlinear properties of crude oil time series, and that better forecasting performance can be obtained in terms of precision and volatility than the other current forecasting models.
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Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility☆

TL;DR: In this article, the efficiency of crude oil markets (Brent and West Texas Intermediate) was analyzed by means of estimating the fractal structure of these time series using the Rescaled Range Hurst analysis and found evidence that this market has become more efficient over time.
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Short-term predictability of crude oil markets: A detrended fluctuation analysis approach

TL;DR: In this paper, the authors analyzed the auto-correlations of international crude oil prices on the basis of the estimation of the Hurst exponent dynamics for returns over the period from 1987 to 2007.
Journal ArticleDOI

Multifractal analysis of financial markets: a review.

TL;DR: The cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods is surveyed, and the sources ofMultifractality are discussed.
Journal ArticleDOI

Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models

TL;DR: In this article, the value-at-risk (VaR) and the expected shortfalls for some major crude oil and gas commodities for both short and long trading positions were evaluated for three ARCH/GARCH-type models including FIGARCH, FIAPARCH and HYGARCH.
References
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Book

The econometrics of financial markets

TL;DR: In this paper, Campbell, Lo, and MacKinlay present an attempt by three well-known and well-respected scholars to fill an acknowledged void in the empirical finance literature, a text covering the burgeoning field of empirical finance.
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Long-Term Storage Capacity of Reservoirs

TL;DR: In this paper, a solution of the problem of determining the reservoir storage required on a given stream, to guarantee a given draft, is presented, where a long-time record of annual total...
Book ChapterDOI

The variation of certain speculative prices

TL;DR: The classic model of the temporal variation of speculative prices (Bachelier 1900) assumes that successive changes of a price Z(t) are independent Gaussian random variables as discussed by the authors.
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The Variation of Certain Speculative Prices

TL;DR: In this paper, a new model of price behavior in speculative markets is proposed, which is a generalization of the continuous random walk of Bachelier process applied to InZ(t) instead of Z(t), where the Gaussian distribution is replaced throughout by another family of probability laws referred to as stable Paretian.
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Introduction to Econophysics: Correlations and Complexity in Finance

TL;DR: Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
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