Fractality feature in oil price fluctuations

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dc.creatorMomeni, M.
dc.creatorKourakis, I.
dc.creatorTalebi, K.
dc.date2008-09-06
dc.date.accessioned2026-07-07T12:05:59Z
dc.date.available2026-07-07T12:05:59Z
dc.descriptionThe 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
dc.description7 pages, 10 figures
dc.identifierhttps://arxiv.org/abs/0809.1139
dc.identifierhttp://arxiv.org/abs/0809.1139
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208531
dc.subjectStatistical Finance
dc.subjectComputational Physics
dc.subjectData Analysis, Statistics and Probability
dc.titleFractality feature in oil price fluctuations
dc.typetext

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