The crude oil price bubbling and universal scaling dynamics of price volatility
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- 作者：Sergio M. Garcí ; a-Carranco ; Juan Bory-Reyes ; Alexander S. Balankin ; abalankin@ipn.mx" class="auth_mail" title="E-mail the corresponding author ; abalankin@itelcel.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Crude oil price ; Price bubbles ; Volatility ; Kinetic roughening ; Family-Viscek scaling ansatz ; Universal scaling exponents
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2016
- 出版时间：15 June 2016
- 年：2016
- 卷：452
- 期：Complete
- 页码：60-68
- 全文大小：1077 K
文摘
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We study the dynamics of crude oil price volatility of different horizons.
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Volatility dynamics is mapped into a model of kinetic roughening of growing interface.
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The intrinsic time volatility and metric of volatility horizons are defined.
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Langevin-type equation governing the volatility dynamics is suggested.
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The effect of bubbles on volatility dynamics is outlined.