Multi-fractal Analysis of World Crude Oil Prices

摘要：

In order to reveal the stylized facts of world crude oil prices, R/S (Rescaled Range Analysis) method is introduced in this paper. For illustration, WTI (West Texas Intermediate) and Brent daily crude oil prices are used in this paper. The calculated results show that both Hurst exponents (H) are larger than 0.5 and both memory terms are 12 days coincident. The results tell that these two oil prices are persistent processes with time memory effects; however, this memory is limitary because the memory terms are both so short. The results are beneficial to crude oil prices forecast and can give some suggestions for policy making.

作者: Xiucheng Dong Junchen Li Jian Gao

作者单位: School of Business and Administration China University of Petroleum (Beijing) Beijing, 102249, P.R.China

会议类型: 国际会议

会议名称: The Second International Joint Conference on Computational Science and Optimization(CSO 2009)(2009 国际计算科学与优化会议)

会议地点: 三亚

会议语种:英文

页码: 1539-1543

在线出版日期: 2009-04-24（万方平台首次上网日期，不代表论文的发表时间）