Multifractal spectrum analysis of Brent crude oil futures prices volatility in intercontinental exchange Online publication date: Mon, 18-May-2015
by Hongtao Chen; Lianghua Chen
International Journal of Global Energy Issues (IJGEI), Vol. 38, No. 1/2/3, 2015
Abstract: International crude oil futures prices volatility has significant effects on global economic activities. To research the fluctuation of crude oil futures prices, the multifractal spectrum of the Brent oil futures market is calculated and the variation of parameters of multifractal spectrum is analysed. The research data is daily records of the Brent crude oil futures prices from 1 January 1989 to 31 December 2013 in Intercontinental Exchange (ICE). With the second Gulf War as the breakpoint, the original data is divided into two parts. The results show that the curves logχq(ε) ∼ logε have good linear correlations. The Brent crude oil futures price represents multifractal feature and keeps scale invariance in the wide range. Before the Gulf War, the Brent crude oil futures price volatility is greater than that after the Gulf War. Multifractal parameters of Δf and Δα can be used as indicators of the risk of oil price volatility.
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