EconPapers    
Economics at your fingertips  
 

The empirical analysis for fractal features and long-run memory mechanism in petroleum pricing systems

Ling-Yun He, Ying Fan and Yi-Ming Wei ()

International Journal of Global Energy Issues, 2007, vol. 27, issue 4, 492-502

Abstract: The fractal behaviour for petroleum pricing is investigated in several international systems. Based on the time series of Brent & WTI crude oil and Rotterdam & Singapore Leaded gasoline prices (daily spot), this paper analyses the fractal features in the systems under study by using Rescaled Range analysis (R/S analysis). This paper also estimates the Hurst exponents; thus, long-term memory effects are evaluated by these systems. By tracing the evolutionary tracking of H(τ) vs. τ, three phases are divided by different system dynamic behaviours. Furthermore, V statistical method is used to obtain the lengths of non-periodic cycles of the long-term memory. Finally, this paper presents several conclusions and suggestions.

Keywords: petroleum prices; rescaled range analysis; Hurst exponents; fractal features; long-term memory; oil prices. (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
http://www.inderscience.com/link.php?id=14869 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijgeni:v:27:y:2007:i:4:p:492-502

Access Statistics for this article

More articles in International Journal of Global Energy Issues from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().

 
Page updated 2021-10-03
Handle: RePEc:ids:ijgeni:v:27:y:2007:i:4:p:492-502