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arXiv · 0809.1139

Fractality feature in oil price fluctuations

M. Momeni·I. Kourakis·K. Talebi
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Abstract

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

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BibTeXRIS

M. Momeni, I. Kourakis, K. Talebi. 2008-09-06. Fractality feature in oil price fluctuations. https://arxiv.org/abs/0809.1139

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