MULTIFRACTAL BEHAVIOUR IN OIL PRICES BY USING MF-DFA AND WTMM METHODS

Year 2013, Volume: 5 Issue: 1, 213 - 224, 01.06.2013

Kemal Ayten Gazanfer Ünal

Abstract

This study analyses the multifractal properties of the most prominent oil-related
derivative which is ‘‘WTI’’ since the West Texas Intermediate grade of crude oil
for delivery at Cushing, Oklahoma. To be able to test multifractality of the WTI
prices, we used two different methodologies which are multifractal detrended
fluctuation analysis (MF - DFA) and wavelet transform modulus maxima
(WTMM).

Keywords

Multifractal, MF-DFA, WTMM, Oil Price, WTI

References

• Geman, Helyette (2005), Commodities and Commodity Derivatives : Modeling and Pricing for Agriculturals,Metals and Energy, John Wiley & Sons Ltd
• B. Mandelbrot(1963), “The variation of certain speculative prices”, J. Business 36 pp. 394–419.
• Ramazan Gencay and Zhaoxia Xu (2003),“Scaling, self-similarity and multifractality in FX markets”, Physica A 323 pp. 578 – 590
• Rama Cont(2001),”Empirical properties of asset returns: stylized facts and statistical issues”, QUANTITATIVE FINANCE VOLUME 1 pp 223–236
• K. Matia, Y. Ashkenazy and H.E.Stanley (2003),”Multifractal properties of price fluctuations of stocks and commodities”, Europhys. Lett. 61 pp. 422-428
• Jan W. Kantelhardt, Stephan A. Zschiegner, Eva Koscielny-Bunde, Armin Bunde, Shlomo Havlin,, and H. Eugene Stanley (2002),” Multifractal Detrended
• Fluctuation Analysis of Nonstationary Time Series”, Physica A 316, pp. 87 Andrejs Puckovs and Andrejs Matvejevs (2012),”Wavelet Transform Modulus
• Maxima Approach for World Stock Index Multifractal Analysis”,Information Technology and Management Science v15 pp76-86. US Energy Information Administration, http://www.eia.gov/ [Accessed March EspenIhlen (2012),”Introduction to multifractal detrended fluctuation analysis in
• Matlab”,Frontiers in Physiology