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Random fractal structures in North American energy markets

Author

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  • Serletis, Apostolos
  • Andreadis, Ioannis

Abstract

AbstractThe following sections are included:IntroductionData and Statistical AnalysisThe Above and Below Test for RandomnessThe Hurst TestA Fractal Noise ModelThe Power SpectrumThe Structure Function TestA Multifractal Data AnalysisOn Turbulent BehaviorConclusion
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Suggested Citation

  • Serletis, Apostolos & Andreadis, Ioannis, 2004. "Random fractal structures in North American energy markets," Energy Economics, Elsevier, vol. 26(3), pages 389-399, May.
  • Handle: RePEc:eee:eneeco:v:26:y:2004:i:3:p:389-399
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    References listed on IDEAS

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    1. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
    2. Apostolos Serletis & Ioannis Andreadis, 2007. "Random Fractal Structures in North American Energy Markets," World Scientific Book Chapters,in: Quantitative And Empirical Analysis Of Energy Markets, chapter 18, pages 245-255 World Scientific Publishing Co. Pte. Ltd..
    3. Apostolos Serletis & Periklis Gogas, 2007. "The North American Natural Gas Liquids Markets are Chaotic," World Scientific Book Chapters,in: Quantitative And Empirical Analysis Of Energy Markets, chapter 17, pages 225-244 World Scientific Publishing Co. Pte. Ltd..
    4. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    5. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, pages 703-724.
    6. Apostolos Serletis & Ricardo Rangel-Ruiz, 2007. "Testing for Common Features in North American Energy Markets," World Scientific Book Chapters,in: Quantitative And Empirical Analysis Of Energy Markets, chapter 14, pages 172-187 World Scientific Publishing Co. Pte. Ltd..
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    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • N70 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - General, International, or Comparative
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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