Complex Systems

Empirical Evidence of Some Stylized Facts in International Crude Oil Markets Download PDF

Ling-Yun He
Electronic mail address: lyhe75@yahoo.com.cn, arnold@mail.ustc.edu.cn
College of Economics and Management,
Chinese Agricultural University,
Beijing 100083, P. R. China
and
School of Management,
University of Science and Technology of China (USTC),
Hefei 230026, P. R. China

Feng Zheng
Electronic mail address: zhengfengyuan@gmail.com
School of Business,
Beijing Jiaotong University (BJU),
Beijing 100088, P. R. China

Abstract

In this paper, based on the time series of Brent and WTI crude oil prices (daily spot), some stylized facts such as autocorrelation and scaling/multiscaling features are investigated as observed in international crude oil price markets.