期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 533, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.physa.2019.122021
关键词
Multifractal characteristics; INE crude oil futures; R/S analysis; Multifractal detrended fluctuation analysis (MF-DFA); Multifractal spectrum
资金
- Class Initiative Key Program of China University of Mining and Technology [2018WHCC07]
China crude oil futures were officially listed in the Shanghai International Energy Exchange Center (INE) on March 26, 2018. The cross-correlation function of the return series of crude oil futures prices between INE and mature markets (WTI and Brent) was calculated. The result shows that the return series of the INE crude oil futures price had the strongest correlation with that of WTI and Brent when the interval was one day. Then, the R/S analysis, multifractal detrended fluctuation analysis (MF-DFA), and multifractal spectrum were used to analyze the fractal characteristics of the INE crude oil market. The results show that the returns of the INE crude oil price have significant multifractal characteristics. Compared with the mature crude oil futures markets (WTI and Brent), the multifractal characteristics of the INE crude oil futures market are weaker than the Brent market but stronger than the WTI market Lastly according to the multifractal spectrum, the risk of the INE crude oil futures market is less than WTI and Brent market (C) 2019 Elsevier B.V. All rights reserved.
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