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