Fluctuation and volatility dynamics of stochastic interacting energy futures price model

Guochao Wang, Shenzhou Zheng and Jun Wang

Physica A: Statistical Mechanics and its Applications, 2020, vol. 537, issue C

Abstract: The price dynamics of energy futures market is important factor affecting the global economy. This paper introduces a novel stochastic interacting energy futures price model to simulate price dynamics mechanism of energy futures market, where the two-dimension stochastic interacting epidemic system and random jump process are used to describe the most common and small price changes from interaction mechanism and the extreme and large changes from some external environments, respectively. Then, two statistics — daily logarithmic return and volatility duration average intensity (VDAI) are used to study the price fluctuation and volatility dynamics of the proposed model. In order to validate the rationality of the energy futures price model, the return series and VDAI series of the simulation data are investigated by some statistical analysis methods and complexity methods, which are compared with those of three important crude oil futures. The empirical results show that the proposed model can reproduce the price fluctuation and volatility dynamics of real crude oil futures market in terms of some statistical properties and complexity behaviors.

Keywords: Energy futures price model; Interacting epidemic system; Random jump process; Volatility duration average intensity; Statistical physics and complexity (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119315353
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:537:y:2020:i:c:s0378437119315353

DOI: 10.1016/j.physa.2019.122693

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 ().