Multifractal Hurst analysis of crude oil prices
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References listed on IDEAS
- Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
- Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-543, July.
- Barabási, Albert-László & Szépfalusy, Péter & Vicsek, Tamás, 1991. "Multifractal spectra of multi-affine functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 178(1), pages 17-28.
- 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.
More about this item
KeywordsCrude oil prices; Persistence; Fluctuations; Time scales;
StatisticsAccess and download statistics
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