Power-law periodicity in the 2003–2004 crude oil price dynamics

Jose Alvarez-Ramirez, Carlos Ibarra-Valdez, Araceli Bernabe and Eduardo Rodriguez

Physica A: Statistical Mechanics and its Applications, 2005, vol. 349, issue 3, 625-640

Abstract: In recent months, the crude oil market has shown an abnormal behavior as compared with the previous 20 years. The most relevant feature of it being the high-level prices, well beyond the most pessimistic forecasting of a couple of years ago. The aim of this paper is to show that the crude oil price dynamics in the period from mid-2003 to late-2004 can be described by a piecewise linear increasing trend plus an oscillatory behavior with power-law periodicity. In about mid-December 2003, a transition in the period of the price oscillations was detected. Before and after such a date, the oscillation period decreased and increased with time, respectively. Additionally, after July, 2004, the slope of the trend has suffered a 200% increment, which may indicate that the market instability is becoming stronger.

Keywords: Crude oil market; Instability; Power-law periodicity (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:349:y:2005:i:3:p:625-640

DOI: 10.1016/j.physa.2004.11.017

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