Multifractal Hurst analysis of crude oil prices

DOI10.1016/S0378-4371(02)00985-8MaRDI QIDQ699143zbMATH OpenOpenAlexFDO

Authors Myriam Cisneros, Carlos Ibarra-Valdez, Angel Soriano, J. Alvarez-Ramírez

Publication date 6 October 2002

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(02)00985-8

zbMATH Keywords

characteristic time scalesmarket dynamicsmoving-average-based filtering

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 192842 (Why is no real title available?)
• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• Statistical physics in foreign exchange currency and stock markets
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

Cited in

(16)

• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Fractional dynamic behavior in ethanol prices series
• Symmetry/anti-symmetry phase transitions in crude oil markets
• Safe marginal time of crude oil price via escape problem of econophysics
• Asymmetric multifractality, comparative efficiency analysis of Green finance markets: a dynamic study by index-based model
• Emergence of turbulent epochs in oil prices
• Long memory and crude oil's price predictability
• Finite-size effect and the components of multifractality in financial volatility
• Multifractal cross-correlation analysis based on statistical moments
• Empirical evidence of some stylized facts in international crude oil markets
• Non-Gaussian statistics of oil pricing time-series: a case study
• MULTIFRACTAL ANALYSIS WITH DETRENDING WEIGHTED AVERAGE ALGORITHM OF HISTORICAL VOLATILITY
• Complexity testing techniques for time series data: a comprehensive literature review
• Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets
• Coarse-graining and self-similarity of price fluctuations
• Multi-scale correlations in different futures markets

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