کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5065209 | 1372306 | 2012 | 8 صفحه PDF | دانلود رایگان |
We test whether the spot price of crude oil is determined by stochastic rules or exhibits deterministic endogenous fluctuations. In our analysis, we employ both metric (correlation dimension and Lyapunov exponents) and topological (recurrence plots) diagnostic tools for chaotic dynamics. We find that the underlying system for crude oil spot prices (i) is of high dimensionality (no stabilization of the correlation dimension), (ii) does not exhibit sensitive dependence on initial conditions, and (iii) is not characterized by the recurrence property. Thus, the empirical evidence suggests that stochastic rather than deterministic rules are present in the system dynamics of the crude oil spot market. Recurrent plot analysis indicates that volatility clustering is an adequate, but not complete, explanation of the morphology of oil spot prices.
⺠We test whether the spot price of crude oil exhibits deterministic chaos. ⺠We employ both metric and topological diagnostic tools for chaos. ⺠Stochastic rules appear to govern the temporal evolution of oil prices. ⺠Volatility clustering explains the morphology of oil prices largely, but not entirely.
Journal: Energy Economics - Volume 34, Issue 2, March 2012, Pages 584-591