Fractality feature in oil price fluctuations

Autor:	Momeni, M., Kourakis, I., Talebi, K.
Rok vydání:	2008
Předmět:	Quantitative Finance - Statistical Finance Physics - Computational Physics Physics - Data Analysis Statistics and Probability
Druh dokumentu:	Working Paper
Popis:	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 Comment: 7 pages, 10 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/0809.1139 Zobrazit plný text záznamu View this record from Arxiv