The role of fluctuating modes of autocorrelation in crude oil prices

Haizhong An, Xiangyun Gao, Wei Fang, Xuan Huang and Yinghui Ding

Physica A: Statistical Mechanics and its Applications, 2014, vol. 393, issue C, 382-390

Abstract: Autocorrelation exists in the crude oil price due to price inertia, the cobweb theorem, model errors, etc. Many researchers have studied the fluctuation of the crude oil price, but few have focused on the autocorrelation fluctuation in crude oil prices. Exploring the fluctuating rules of autocorrelation can aid in understanding the fluctuating mechanism of crude oil prices. To study the role of fluctuating modes of autocorrelation in crude oil prices, which have time series characteristics, this study selected international crude oil spot prices as sample data to employ the methods of statistical physics. The fluctuating modes of autocorrelation were defined by the autocorrelation coefficient, symbolization, and a coarse-graining process. We set the modes as nodes and the transformation between modes as edges; the fluctuating mode weight network of autocorrelation was then built. Thus, the study of autocorrelation fluctuation was transformed to a network study. Then, certain aspects, such as the statistical properties, the “small-world” behavior, and the transmission medium in the network, could be analyzed using complex network theory and analytical methods. The periodicity of the fluctuation was calculated using a spectral analysis method. This study not only describes the fluctuation of the time series more precisely than other methods but also provides ideas for methods of studying the fluctuation of univariate autocorrelations.

Keywords: Autocorrelation; Fluctuating modes; Complex network; Time series; Crude oil price (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (45)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:393:y:2014:i:c:p:382-390

DOI: 10.1016/j.physa.2013.08.055

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