Inderscience Publishers

Efficient market hypothesis in the international oil price fluctuation: based on the MF–DFA model

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In light of the continual substantial divergences between mainstream economics and econophysics in regard to the market efficiency of international oil price volatility, a model based on multifractal detrended fluctuation analysis is built up to conduct an in–depth research into the validity and predictability of the international oil market, using weekly data of spot price indexes in the three international crude oil markets and reflecting the auto–correlation of oil price and speculation of external market. Our empirical results reveal that: (1) statistically, all previous changes in the international oil price are not completely independent; (2) an anti–persistence correlation and memory begins to characterise the international oil market under the influence of a large–scale capital speculation in financial market; (3) the international oil market presents a long–range auto–correlation and memory feature of finance market under the internal and external effects of auto–correlation and capital speculation respectively.

Keywords: oil price fluctuation, efficient market hypothesis, predictability, MF–DFA model, auto–correlation, capital speculation, global energy, international oil prices, price volatility, crude oil markets, multifractal detrended fluctuation analysis

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