Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 5, 2011, Pages 864-875

  Wang, Yudong ^a   Wei, Yu ^b   Wu, Chongfeng ^a  

^a Shanghai   (China)

^b SOUTHWEST JIAOTONG UNIVERSITY   (China)

Author keywords

Crude oil markets; Detrended cross correlations analysis; Detrended fluctuation analysis; Multifractal

Indexed keywords

COMMERCE; CRUDE OIL; FINANCIAL MARKETS; FRACTALS; TIME MEASUREMENT;

ASSET PRICING MODEL; CRUDE OIL MARKET; DETRENDED CROSS-CORRELATION ANALYSIS; DETRENDED CROSS-CORRELATIONS ANALYSIS; DETRENDED FLUCTUATION ANALYSIS; LONG RANGE CORRELATIONS; MULTI FRACTALS; WEST TEXAS INTERMEDIATES;

PETROLEUM ANALYSIS;

EID: 78650937808     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.11.017     Document Type: Article

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