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

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

Öz

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.

Anahtar Kelimeler

• Brent Ham Petrol,Doğrusal Olmama,Kaos,Kaos

Kaynakça

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