Multifractal Hurst analysis of crude oil prices

DOI10.1016/S0378-4371(02)00985-8zbMath0998.91015OpenAlexW1983889844MaRDI QIDQ699143

Myriam Cisneros, Carlos Ibarra-Valdez, Angel Soriano, José de Jesús Álvarez-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

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Mathematics Subject Classification ID

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

Related Items (9)

Finite-size effect and the components of multifractality in financial volatility ⋮ Asymmetric multifractality, comparative efficiency analysis of Green finance markets: a dynamic study by index-based model ⋮ Mixed-correlated ARFIMA processes for power-law cross-correlations ⋮ Emergence of turbulent epochs in oil prices ⋮ Long memory and crude oil's price predictability ⋮ Complexity testing techniques for time series data: a comprehensive literature review ⋮ MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS ⋮ MULTIFRACTAL ANALYSIS WITH DETRENDING WEIGHTED AVERAGE ALGORITHM OF HISTORICAL VOLATILITY ⋮ Symmetry/anti-symmetry phase transitions in crude oil markets

Cites Work

• Statistical physics in foreign exchange currency and stock markets
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
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