DocumentCode :
3511410
Title :
The Empirical Study on Stylized Facts in Brent Crude Oil Price System
Author :
He, Ling-Yun ; Zheng, Feng ; Hou, Yunxian
Author_Institution :
Coll. of Econ. & Manage., Chinese Agric. Univ., Beijing
fYear :
2007
fDate :
21-25 Sept. 2007
Firstpage :
5663
Lastpage :
5666
Abstract :
In this paper, based on the time series of Brent crude oil prices (daily spot), by introducing some functions to explore empirically the price dynamics and behaviors in crude oil prices, we investigate the information in price system and analyze the price behaviors especially the system memory mechanism of historical information, thus we discuss the long- term memory mechanism existed and analyze numerically the non-periodic cycles in the system; furthermore, we find nontrivial fractal features and multi-affine spectra in Brent price system; finally, we calculate the two-time autocorrelation functions and get exponential decay for small values. All numerical results support that there exist stylized facts in Brent crude oil price system.
Keywords :
affine transforms; crude oil; fractals; pricing; time series; Brent crude oil price system; autocorrelation functions; exponential decay; multiaffine spectra; nontrivial fractal features; price dynamics; system memory mechanism; time series; Agriculture; Business communication; Educational institutions; Fractals; Helium; Information analysis; Memory management; Petroleum; Technology management; Time series analysis;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-1311-9
Type :
conf
DOI :
10.1109/WICOM.2007.1388
Filename :
4341163
Link To Document :
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