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Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis

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  • Gu, Rongbao
  • Chen, Hongtao
  • Wang, Yudong
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    Abstract

    The multifractal nature of WTI and Brent crude oil markets is studied employing the multifractal detrended fluctuation analysis. We find that two crude oil markets become more and more efficient for long-term and two Gulf Wars cannot change time scale behavior of crude oil return series. Considering long-term influence caused by Gulf Wars, we find such “turning windows” in generalized Hurst exponents obtained from three periods divided by two Gulf Wars so that WTI and Brent crude oil returns possess different properties above and below the windows respectively. Comparing with the results obtained from three periods we conclude that, before the First Gulf War, international crude oil markets possessed the highest multifractality degree, small-scope fluctuations presented the strongest persistence and large-scope fluctuations presented the strongest anti-persistence. We find that, for two Gulf Wars, the first one made a greater impact on international oil markets; for two markets, Brent was more influenced by Gulf Wars. In addition, we also verified that the multifractal structures of two markets’ indices are not only mainly attributed to the broad fat-tail distributions and persistence, but also affected by some other factors.

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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 389 (2010)
    Issue (Month): 14 ()
    Pages: 2805-2815

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    Handle: RePEc:eee:phsmap:v:389:y:2010:i:14:p:2805-2815

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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    Keywords: Crude oil market; Multifractal detrended fluctuation analysis; Generalized Hurst exponent; Multifractality degree;

    References

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    Cited by:
    1. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
    2. Wang, Yudong & Wu, Chongfeng, 2012. "What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications," Economic Modelling, Elsevier, vol. 29(2), pages 349-360.
    3. Li, Zhihui & Lu, Xinsheng, 2012. "Cross-correlations between agricultural commodity futures markets in the US and China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3930-3941.
    4. Lu, Xinsheng & Tian, Jie & Zhou, Ying & Li, Zhihui, 2013. "Multifractal detrended fluctuation analysis of the Chinese stock index futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1452-1458.
    5. Dai, Meifeng & Zhang, Cheng & Zhang, Danping, 2014. "Multifractal and singularity analysis of highway volume data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 332-340.
    6. Ozger, Mehmet, 2011. "Scaling characteristics of ocean wave height time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(6), pages 981-989.
    7. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    8. Leonenko, Nikolai & Petherick, Stuart & Taufer, Emanuele, 2013. "Multifractal models via products of geometric OU-processes: Review and applications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 7-16.
    9. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    10. Zhang, Bing & Li, Xiao-Ming & He, Fei, 2014. "Testing the evolution of crude oil market efficiency: Data have the conn," Energy Policy, Elsevier, vol. 68(C), pages 39-52.
    11. Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou, 2012. "Testing the weak-form efficiency of the WTI crude oil futures market," Papers 1211.4686, arXiv.org.
    12. Xinsheng Lu & Jie Tian & Ying Zhou & Zhihui Li, 2012. "Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market," Working Papers 2012-08, Auckland University of Technology, Department of Economics.
    13. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    14. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 864-875.

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