Dynamic price interactions in energy commodities benchmarks: Insights from multifractal analysis during crisis periods

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F25%3A10510383" target="_blank" >RIV/00216208:11230/25:10510383 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=hJvo8I8mq4" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=hJvo8I8mq4</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2024.130314" target="_blank" >10.1016/j.physa.2024.130314</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Dynamic price interactions in energy commodities benchmarks: Insights from multifractal analysis during crisis periods

Popis výsledku v původním jazyce

This paper investigates the dynamic interrelationships between West Texas Intermediate (WTI) prices and various energy commodities including Brent crude oil futures, Brent spot prices, American diesel futures, and the Reformulated Blendstock for Oxygenate Blending, across four critical periods surrounding the Covid-19 pandemic and the Russia-Ukraine conflict. Employing the Multifractal Detrended Fluctuation Cross-Correlation Analysis (MFXDFA) methodology, the study analyzes both the static and dynamic Hurst exponents to examine the multifractal behaviors of these price relationships. Results indicate a pronounced increase in price persistence during the height of the Covid-19 pandemic, with a subsequent decrease during the Russia- Ukraine conflict, suggesting a shift toward a new price dynamic influenced by recent global crises. This research contributes to understanding the evolving dynamics in crude oil and refined products markets, shedding light on how major geopolitical and global health events can reshape market behavior and pricing structures in significant ways.

Název v anglickém jazyce

Dynamic price interactions in energy commodities benchmarks: Insights from multifractal analysis during crisis periods

Popis výsledku anglicky

This paper investigates the dynamic interrelationships between West Texas Intermediate (WTI) prices and various energy commodities including Brent crude oil futures, Brent spot prices, American diesel futures, and the Reformulated Blendstock for Oxygenate Blending, across four critical periods surrounding the Covid-19 pandemic and the Russia-Ukraine conflict. Employing the Multifractal Detrended Fluctuation Cross-Correlation Analysis (MFXDFA) methodology, the study analyzes both the static and dynamic Hurst exponents to examine the multifractal behaviors of these price relationships. Results indicate a pronounced increase in price persistence during the height of the Covid-19 pandemic, with a subsequent decrease during the Russia- Ukraine conflict, suggesting a shift toward a new price dynamic influenced by recent global crises. This research contributes to understanding the evolving dynamics in crude oil and refined products markets, shedding light on how major geopolitical and global health events can reshape market behavior and pricing structures in significant ways.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

1873-2119

Svazek periodika

659

Číslo periodika v rámci svazku

February 2025

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

13

Strana od-do

130314

Kód UT WoS článku

001407012000001

EID výsledku v databázi Scopus

2-s2.0-85214106189