Is International Oil Price Chaotic?--Empirical Evidence From Spot Market
International oil market is presented as a complex system with non-linear characteristics, in which oil price is affected by a set of different factors. In order to test if the international oil price chaotic or not, the Phase Space Reconstruction Technique (PSRT) is used to reorder the time series, and the methods of improved G-P algorithm, non-bias autocorrelation, Wolf algorithm and Correlation integral are applied respectively to obtain embedded dimensions, time delay, the largest Lyapunov exponent and Kolmogorov entropy. Empirical results demonstrate that international oil price is a nonlinear dynamic system with chaotic and fractal feature, so that traditional statistical models are not competent in accurate depiction of the underlying dynamics. Long-term prediction of oil price is of little credibility, while short-term prediction within the range of effective predictable time is practical and meaningful.
oil price chaos fractal time series
Lin Zhao Zhen Wang Chuanying Chen
School of Business Administration, China University of Petroleum, Beijing, P.R.China
国际会议
北京
英文
621-624
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）