Multifractal characteristics analysis of crude oil futures prices fluctuation in China

Feng Wang, Xin Ye and Congxin Wu

Physica A: Statistical Mechanics and its Applications, 2019, vol. 533, issue C

Abstract: China crude oil futures were officially listed in the Shanghai International Energy Exchange Center (INE) on March 26, 2018. The cross-correlation function of the return series of crude oil futures prices between INE and mature markets (WTI and Brent) was calculated. The result shows that the return series of the INE crude oil futures price had the strongest correlation with that of WTI and Brent when the interval was one day. Then, the R/S analysis, multifractal detrended fluctuation analysis (MF-DFA), and multifractal spectrum were used to analyze the fractal characteristics of the INE crude oil market. The results show that the returns of the INE crude oil price have significant multifractal characteristics. Compared with the mature crude oil futures markets (WTI and Brent), the multifractal characteristics of the INE crude oil futures market are weaker than the Brent market but stronger than the WTI market Lastly according to the multifractal spectrum, the risk of the INE crude oil futures market is less than WTI and Brent market

Keywords: Multifractal characteristics; INE crude oil futures; R/S analysis; Multifractal detrended fluctuation analysis (MF-DFA); Multifractal spectrum (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119311574
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:533:y:2019:i:c:s0378437119311574

DOI: 10.1016/j.physa.2019.122021

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().