Title: The empirical analysis for fractal features and long-run memory mechanism in petroleum pricing systems

Authors: Ling-Yun He, Ying Fan, Yi-Ming Wei

Addresses: Center for Energy and Environmental Policy Research (CEEP), Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing, 100080, China; School of Management, University of Science and Technology of China (USTC), Hefei, 230026, China. ' Center for Energy and Environmental Policy Research (CEEP), Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing, 100080, China. ' Center for Energy and Environmental Policy Research (CEEP), Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing, 100080, China

Abstract: The fractal behaviour for petroleum pricing is investigated in several international systems. Based on the time series of Brent & WTI crude oil and Rotterdam & Singapore Leaded gasoline prices (daily spot), this paper analyses the fractal features in the systems under study by using Rescaled Range analysis (R/S analysis). This paper also estimates the Hurst exponents; thus, long-term memory effects are evaluated by these systems. By tracing the evolutionary tracking of H(τ) vs. τ, three phases are divided by different system dynamic behaviours. Furthermore, V statistical method is used to obtain the lengths of non-periodic cycles of the long-term memory. Finally, this paper presents several conclusions and suggestions.

Keywords: petroleum prices; rescaled range analysis; Hurst exponents; fractal features; long-term memory; oil prices.

DOI: 10.1504/IJGEI.2007.014869

International Journal of Global Energy Issues, 2007 Vol.27 No.4, pp.492 - 502

Published online: 13 Aug 2007 *

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