The Empirical Study on Stylized Facts in Brent Crude Oil Price System

摘要

In this paper, based on the time series of Brent crude oil prices (daily spot),by introducing some functions to explore empirically the price dynamics and behaviors in crude oil prices, we investigate the information in price system and analyze the price behaviors especially the system memory mechanism of historical information, thus we discuss the longterm memory mechanism existed and analyze numerically the non-periodic cycles in the system; furthermore, we find nontrivial fractal features and multi-affine spectra in Brent price system; finally, we calculate the two-time autocorrelation functions and get exponential decay for small values. All numerical results support that there exist stylized facts in Brent crude oil price system.