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Random Fractal Structures in North American Energy Markets

In: Quantitative And Empirical Analysis Of Energy Markets

Listed author(s):
  • Apostolos Serletis

    (University of Calgary, Canada)

  • Ioannis Andreadis

    (University of Calgary, Canada)

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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File URL: http://www.worldscientific.com/doi/pdf/10.1142/9789812770462_0018
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File URL: http://www.worldscientific.com/doi/abs/10.1142/9789812770462_0018
Download Restriction: Ebook Access is available upon purchase.

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This chapter was published in:
  • Apostolos Serletis, 2007. "Quantitative and Empirical Analysis of Energy Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6352, July-Dece.
  • This item is provided by World Scientific Publishing Co. Pte. Ltd. in its series World Scientific Book Chapters with number 9789812770462_0018.
    Handle: RePEc:wsi:wschap:9789812770462_0018
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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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    1. 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..
    2. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June.
    3. 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..
    4. 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.
    5. 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.
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