A metric and topological analysis of determinism in the crude oil spot market

Energy Economics

Volumn 34, Issue 2, 2012, Pages 584-591

  Barkoulas, John T ^a   Chakraborty, Atreya ^b   Ouandlous, Arav ^c  

^a GEORGIA SOUTHERN UNIVERSITY   (United States)

^b UNIVERSITY OF MASSACHUSETTS BOSTON   (United States)

^c SAVANNAH STATE UNIVERSITY   (United States)

Author keywords

Chaos; Correlation dimension; Lyapunov exponents; Nonlinear dynamics; Recurrence plots

Indexed keywords

CHAOTIC DYNAMICS; CORRELATION DIMENSION; CORRELATION DIMENSIONS; DETERMINISTIC RULE; DIAGNOSTIC TOOLS; EMPIRICAL EVIDENCE; HIGH DIMENSIONALITY; INITIAL CONDITIONS; LYAPUNOV EXPONENT; NON-LINEAR DYNAMICS; PLOT ANALYSIS; RECURRENCE PLOT; SPOT MARKET; SPOT PRICE; SYSTEM DYNAMICS; TOPOLOGICAL ANALYSIS; UNDERLYING SYSTEMS; VOLATILITY CLUSTERING;

CHAOS THEORY; CRUDE OIL; DIFFERENTIAL EQUATIONS; LYAPUNOV FUNCTIONS; LYAPUNOV METHODS; STOCHASTIC SYSTEMS; TOPOLOGY;

PETROLEUM ANALYSIS;

CHAOTIC DYNAMICS; CRUDE OIL; EMPIRICAL ANALYSIS; ENERGY MARKET; PRICE DYNAMICS; STOCHASTICITY;

EID: 84857373327     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2011.10.004     Document Type: Article

References (44)

1. Adelman M.A. The real oil problem. Regulation 2004, 16:16-21.
2. Adrangi B., Chatrath A., Dhanda K., Raffiee K. Chaos in futures prices? Evidence from futures market. Energy Econ. 2001, 23:405-425.
3. Barnett W.A., Serletis A. Martingales, nonlinearity, and chaos. J. Econ. Dyn. Control. 2000, 24:703-724.
4. Baumol W.J., Benhabib J. Chaos: significance, mechanism, and economic applications. J. Econ. Perspect. 1989, 3:77-105.
5. Blank S.C. Chaos' in futures markets? A non-linear dynamical analysis. J. Futur. Mark. 1991, 11:711-728.
6. Brock W.A. Distinguishing random and deterministic systems: an expanded version. J. Econ. Theory 1986, 90:168-195.
7. Chwee V. Chaos in natural gas returns. Energy J. 1998, 19:149-164.
8. DeCoster G.P., Labys W.C., Mitchell D.W. Evidence of chaos in commodity futures prices. J. Futur. Mark. 1992, 12:291-305.
9. Ekmann J.P., Kamphorst S.O., Ruelle D. Recurrence plots of dynamical systems. Econophys. Lett. 1987, 4:973-977.
10. Engle R. Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation. Econometrica 1982, 50:987-1008.
11. Fraser A.M., Swinney H.L. Independent co-ordinates for strange attractors from mutual information. Phys. Rev. A 1986, 33:1134-1140.
12. Gencay R., Dechert W.D. An algorithm for the n Lyapunov exponents of an n-dimensional unknown dynamical system. Phys. D 1992, 59:142-157.
13. Grassberger P., Procaccia I. Measuring the strangeness of strange attractors. Physica 1983, 9D:189-208.
14. Grassberger P., Procaccia I. Dimensions and entropies of strange attractors from a fluctuating dynamics approach. Physica 1984, 13D:34-54.
15. Haigh M.S., Hranaiova J., Overdahl J. Price volatility, liquidity provision and the role of managed money traders in energy futures markets. Working Paper, US Commodity Futures Trading Commission 2005.
16. Hamilton J.D. Oil and the macroeconomy since World War II. J. Polit. Econ. 1983, 91:228-248.
17. Hamilton J.D. Understanding Crude Oil Prices. NBER Working Paper 14492 2008.
18. International Energy Agency (IEA) Report Analysis of the impact of high oil prices of the global economy http://www.europeanenergyforum.eu/archives/news-from/international-energy-agency/analysis-of-the-impact-of-high-oil-prices-on-the-global-economy.
19. Kennel M.B., Brown R., Abarbanel D.I. Determining embedding dimension for phase-space reconstruction using a geometrical construction. Phys. Rev. A 1992, 45:403-411.
20. Kogan L., Ross S., Wang J., Westerfield M. The price impact survival and survival of irrational traders. J. Finance 2006, 61:195-216.
21. LeBaron B. Chaos and nonlinear forecastability in economics and finance. Philos. Trans. Phys. Sci. Eng. 1994, 348(1688):397-404.
22. Lichtenberg A.J., Ujihara A. Application of nonlinear mapping theory to commodity price fluctuations. J. Econ. Dyn. Control. 1989, 13:225-246.
23. Macroeconomic Dynamics [2011] 15, Supplement No 3, Special issue on Oil Price Shocks, edited by Serletis, A. and Elder, J.
24. Matilla-Garcia Mariano Nonlinear dynamics in energy futures. Energy J. 2007, 28:7-29.
25. Mayfield S., Mizrach B. On determining the dimension of real-time stock-price data. J. Bus. Econ. Stat. 1992, 10:367-374.
26. Moshiri S., Foroutan F. Forecasting nonlinear crude oil futures prices. Energy J. 2006, 27:81-96.
27. Panas E., Ninni V. Are oil markets chaotic? A nonlinear dynamic analysis. Energy Econ. 2000, 22:549-568.
28. Poghosyan T., Hesse H. Oil prices and bank profitability: evidence from major oil-exporting countries in the Middle East and North Africa. IMF Working Paper 09/220 2009.
29. Puu T. Attractors, Bifurcations, and Chaos-Nonlinear Phenomena in Economics 2000, Springer Verlag.
30. Ramsey J.B., Yuan H.J. The statistical properties of dimension calculations using small data sets. Nonlinearity 1990, 3:155-176.
31. Ramsey J.B., Sayers C.L., Rothman P. The statistical properties of dimension calculations using small data sets: some economic applications. Int. Econ. Rev. 1990, 31:991-1020.
32. Rössler O.E. An equation for continuous chaos. Phys. Lett. 1976, 57A:397-398.
33. Sadorsky P. The macroeconomic determinants of technology stock price volatility. Rev. Financ. Econ. 2003, 12:191-205.
34. Serletis A., Dormaar P. Chaos and nonlinear dynamics in futures markets. Nonlinear Dynamics and Economics 1996, 113-132. Cambridge University Press, Cambridge. W.A. Barnett, A.P. Kirman, M. Salmon (Eds.).
35. Serletis A., Elder J. Introduction to oil price shocks. Macroecon. Dyn. 2011, 15.
36. Serletis A., Gogas P. The North American natural gas liquids markets are chaotic. Energy J. 1999, 20:83-103.
37. Serletis A., Shintani M. Chaotic monetary dynamics with confidence. J. Macroecon. 2006, 28:228-252.
38. Sugihara G., May R.M. Nonlinear forecasting as a way of distinguishing chaos from measurement error in time series. Nature 1990, 344:734-741.
39. Takens F. Detecting strange attractors in turbulence. Lecture Notes in Mathematics 1980, vol. 898:266-382. Springer-Verlag, Berlin. D. Rand, V. Young (Eds.).
40. Takens F. Distinguishing deterministic and random systems. Nonlinear Dynamics and Turbulence 1983, 315-333. Pittman, Boston. G. Borenblatt, G. Iooss, D. Joseph (Eds.).
41. Webber C.L., Zbilut J.P. Dynamical assessment of physiological systems and states using recurrence plot strategies. J. Appl. Physiol. 1994, 76:965-973.
42. Xu H. Improved diversification through a mix of oil and equities. Research in Finance 2010, Vol. 26:113-126. Emerald Group Publishing Limited. J. Kensinger (Ed.).
43. Yang S., Brorsen B.W. Nonlinear dynamics of daily futures prices: conditional heteroscedasticity or chaos?. J. Futur. Mark. 1993, 13:175-191.
44. Zbilut J.P., Webber C.L. Embeddings and delays as derived from quantification of recurrence plots. Phys. Lett. A 1992, 171:199-203.