Symmetry/anti-symmetry phase transitions in crude oil markets

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

Physica A: Statistical Mechanics and its Applications, 2003, vol. 322, issue C, 583-596

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.

Keywords: Crude oil prices; Phase transitions; Symmetry; Anti-symmetry (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:322:y:2003:i:c:p:583-596

DOI: 10.1016/S0378-4371(02)01831-9

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