Fractality feature in oil price fluctuations

M. Momeni, I. Kourakis and K. Talebi

Papers from arXiv.org

Abstract: The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within a non-stationary process formulation. It is shown that, when returns are measured over intervals less than 10 days, the Probability Density Functions (PDFs) exhibit self-similarity and monoscaling, in contrast to the multifractal behavior of the PDFs at macro-scales (typically larger than one month). We find that the time evolution of the distributions are well fitted by a Levy distribution law at micro-scales. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer

Date: 2008-09
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0809.1139

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