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Symmetry/anti-symmetry phase transitions in crude oil markets

Author

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  • Alvarez-Ramirez, Jose
  • Soriano, Angel
  • Cisneros, Myriam
  • Suarez, Rodolfo

Abstract

Daily records of international crude oil prices are studied by means of a Zipf-type analysis. By using simple up-down information on price fluctuations, we have observed phase transitions between symmetric states, where occurrence of up and down fluctuations are almost equal, to anti-symmetric states, where there is a significant imbalance between up and down occurrences. Symmetric phase provides a time-scale domain for risk-neutral transactions. On the other hand, anti-symmetric phase can be exploited by speculators and consumers to accommodate contracts that take advantage of the spread between up and down occurrences.

Suggested Citation

  • Alvarez-Ramirez, Jose & Soriano, Angel & Cisneros, Myriam & Suarez, Rodolfo, 2003. "Symmetry/anti-symmetry phase transitions in crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 583-596.
    • Handle: RePEc:eee:phsmap:v:322:y:2003:i:c:p:583-596
    DOI: 10.1016/S0378-4371(02)01831-9
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    References listed on IDEAS

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    1. Vandewalle, N. & Ausloos, M., 1999. "The n-Zipf analysis of financial data series and biased data series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 268(1), pages 240-249.
    2. Alvarez-Ramirez, Jose & Cisneros, Myriam & Ibarra-Valdez, Carlos & Soriano, Angel, 2002. "Multifractal Hurst analysis of crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(3), pages 651-670.
    3. Ausloos, M., 2000. "Statistical physics in foreign exchange currency and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 48-65.
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    13. Bernabe, Araceli & Martina, Esteban & Alvarez-Ramirez, Jose & Ibarra-Valdez, Carlos, 2004. "A multi-model approach for describing crude oil price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(3), pages 567-584.
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