Title: Multifractal spectrum analysis of Brent crude oil futures prices volatility in intercontinental exchange
Authors: Hongtao Chen; Lianghua Chen
Addresses: School of Economics and Management, Southeast University, Nanjing 211189, China ' School of Economics and Management, Southeast University, Nanjing 211189, China
Abstract: International crude oil futures prices volatility has significant effects on global economic activities. To research the fluctuation of crude oil futures prices, the multifractal spectrum of the Brent oil futures market is calculated and the variation of parameters of multifractal spectrum is analysed. The research data is daily records of the Brent crude oil futures prices from 1 January 1989 to 31 December 2013 in Intercontinental Exchange (ICE). With the second Gulf War as the breakpoint, the original data is divided into two parts. The results show that the curves logχq(ε) ∼ logε have good linear correlations. The Brent crude oil futures price represents multifractal feature and keeps scale invariance in the wide range. Before the Gulf War, the Brent crude oil futures price volatility is greater than that after the Gulf War. Multifractal parameters of Δf and Δα can be used as indicators of the risk of oil price volatility.
Keywords: multifractal spectrum; Brent crude oil; futures market; oil prices; global energy; price volatility; intercontinental exchange; ICE; Gulf War; oil futures.
International Journal of Global Energy Issues, 2015 Vol.38 No.1/2/3, pp.93 - 108
Available online: 18 May 2015 *Full-text access for editors Access for subscribers Purchase this article Comment on this article