Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis

Rongbao Gu, Hongtao Chen and Yudong Wang

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 14, 2805-2815

Abstract: The multifractal nature of WTI and Brent crude oil markets is studied employing the multifractal detrended fluctuation analysis. We find that two crude oil markets become more and more efficient for long-term and two Gulf Wars cannot change time scale behavior of crude oil return series. Considering long-term influence caused by Gulf Wars, we find such “turning windows” in generalized Hurst exponents obtained from three periods divided by two Gulf Wars so that WTI and Brent crude oil returns possess different properties above and below the windows respectively. Comparing with the results obtained from three periods we conclude that, before the First Gulf War, international crude oil markets possessed the highest multifractality degree, small-scope fluctuations presented the strongest persistence and large-scope fluctuations presented the strongest anti-persistence. We find that, for two Gulf Wars, the first one made a greater impact on international oil markets; for two markets, Brent was more influenced by Gulf Wars. In addition, we also verified that the multifractal structures of two markets’ indices are not only mainly attributed to the broad fat-tail distributions and persistence, but also affected by some other factors.

Keywords: Crude oil market; Multifractal detrended fluctuation analysis; Generalized Hurst exponent; Multifractality degree (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (61)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:14:p:2805-2815

DOI: 10.1016/j.physa.2010.03.003

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