Title :
Multi-fractal Analysis of World Crude Oil Prices
Author :
Dong, Xiucheng ; Li, Junchen ; Gao, Jian
Author_Institution :
Sch. of Bus. & Adm., China Univ. of Pet. (Beijing), Beijing, China
Abstract :
In order to reveal the stylized facts of world crude oil prices, R/S (Rescaled Range Analysis) method is introduced in this paper. For illustration, WTI (West Texas Intermediate) and Brent daily crude oil prices are used in this paper. The calculated results show that both Hurst exponents (H) are larger than 0.5 and both memory terms are 12 days coincident. The results tell that these two oil prices are persistent processes with time memory effects; however, this memory is limitary because the memory terms are both so short. The results are beneficial to crude oil prices forecast and can give some suggestions for policy making.
Keywords :
crude oil; international trade; pricing; time series; Hurst exponents; crude oil prices; multifractal analysis; rescaled range analysis method; Blood; Chaos; Demand forecasting; Finance; Fluctuations; Fractals; Load forecasting; Merchandise; Petroleum industry; Time series analysis;
Conference_Titel :
Computational Sciences and Optimization, 2009. CSO 2009. International Joint Conference on
Conference_Location :
Sanya, Hainan
Print_ISBN :
978-0-7695-3605-7
