INVESTIGATION OF CHAOTIC DYNAMICS IN BRENT CRUDE OIL RETURNS / Brent Ham Petrol Getirilerinde Kaotik Dinamiklerin Araştırılması

Year 2019, Volume: 3 Issue: 1, 69 - 82, 30.04.2019

Emre Ürkmez

https://doi.org/10.29216/ueip.540147

Cited By: 1

Abstract

In this study, we investigate the chaotic dynamics in the returns of
Brent Crude Oil prices, based on three tests of nonlinearity and chaos. We use
the daily data of Brent Crude Oil prices for the period of 2009-2019. Firstly,
the nonlinearity of the returns is tested by employing the BDS test that shows
the evidences for the existence of the nonlinear structure. Afterwards, the long
memory of the returns is proved as a result of the GPH test. Lastly, we found
that daily returns have sensitivity to initial conditions by using the
correlation dimension analysis. These findings show that the daily returns of
Brent Crude Oil price returns can be characterized by chaotic dynamics and the
efficient market hypothesis does not hold. Hence, we can conclude that
short-term forecasts can be made but it is difficult to make long-term forecasts
for daily returns.

Keywords

Brent Crude Oil, Nonlinear, Chaos

BRENT HAM PETROL GETİRİLERİNDE KAOTİK DİNAMİKLERİN ARAŞTIRILMASI / Investigation of Chaotic Dynamics In Brent Crude Oil Returns

Abstract

Bu çalışmada Brent ham petrol
getirilerindeki kaotik dinamiklerin varlığı doğrusal olmama ve kaos testleri
yardımıyla araştırılmıştır. Bu amaçla 2009-2019 dönemleri arasında Brent ham
petrol günlük kapanış fiyat getirilerinden oluşan veri seti kullanılmıştır.
Öncelikle, BDS testi kullanılarak getirilerdeki doğrusal olmama test edilmiş ve
doğrusal olmayan yapının varlığına yönelik kanıt elde edilmiştir. Daha sonra,
getirilerin uzun hafızaya sahip olduğu GPH testi ile tespit edilmiştir. Son
olarak, korelasyon boyutu analizi kullanılarak günlük getirilerin başlangıç
durumlarına hassas bağlılık özelliği gösterdikleri görülmüştür. Tüm bulgular
bir arada değerlendirildiğinde Brent ham petrol günlük getirilerinin kaotik
dinamikler tarafından karakterize edildiği ve etkin piyasa hipotezinin geçerli
olmadığı tespit edilmiştir. Çalışmadaki tüm ampirik bulgular getiri serileri
için kısa dönemde öngörü yapılabileceğini, ancak uzun dönemli öngörü yapmanın
zor olduğu sonucuna işaret etmektedir.

Keywords

Brent Ham Petrol, Doğrusal Olmama, Kaos, Kaos

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