Random fractal structures in North American energy markets

被引：67

作者：

Serletis, A ^{[1
]}

Andreadis, I

机构：

[1] Univ Calgary, Dept Econ, Calgary, AB T2N 1N4, Canada

[2] European Univ Hague, Ctr Management Studies, NL-2585 EC The Hague, Netherlands

来源：

ENERGY ECONOMICS | 2004年 / 26卷 / 03期

关键词：

fractal noise model; multifractal data analysis; turbulent behavior;

D O I：

10.1016/j.eneco.2004.04.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper uses daily observations on West Texas Intermediate (WTI) crude oil prices at Chicago and Henry Hub natural gas prices at LA (over the deregulated period of the 1990s) and various tests from statistics and dynamical systems theory to support a random fractal structure for North American energy markets. In particular, this evidence is supported by the Vassilicos et al. (1993) multifractal structure test and the Ghashghaie et al. [Nature 381 (1996) 767] turbulent behavior test. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：389 / 399

页数：11

共 19 条

[1] Self-criticality and stochasticity of an S&P 500 index time series [J].