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arXiv · 2310.18903

Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict

Yan-Hong Yang·Ying-Lin Liu·Ying-Hui Shao
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Abstract

Drawing inspiration from the significant impact of the ongoing Russia-Ukraine conflict and the recent COVID-19 pandemic on global financial markets, this study conducts a thorough analysis of three key crude oil futures markets: WTI, Brent, and Shanghai (SC). Employing the visibility graph (VG) methodology, we examine both static and dynamic characteristics using daily and high-frequency data. We identified a clear power-law decay in most VG degree distributions and highlighted the pronounced clustering tendencies within crude oil futures VGs. Our results also confirm an inverse correlation between clustering coefficient and node degree and further reveal that all VGs not only adhere to the small-world property but also exhibit intricate assortative mixing. Through the time-varying characteristics of VGs, we found that WTI and Brent demonstrate aligned behavior, while the SC market, with its unique trading mechanics, deviates. The 5-minute VGs' assortativity coefficient provides a deeper understanding of these markets' reactions to the pandemic and geopolitical events. Furthermore, the differential responses during the COVID-19 and Russia-Ukraine conflict underline the unique sensitivities of each market to global disruptions. Overall, this research offers profound insights into the structure, dynamics, and adaptability of these essential commodities markets in the face of worldwide challenges.

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Yan-Hong Yang, Ying-Lin Liu, Ying-Hui Shao. 2023-10-29. Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. https://arxiv.org/abs/2310.18903

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