Fractality feature in oil price fluctuations

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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
7 pages, 10 figures

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Statistical Finance, Computational Physics, Data Analysis, Statistics and Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/208531

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0809.1139
 http://arxiv.org/abs/0809.1139

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arXiv