Marcin Wątorek, Stanisław Drożdż, Paweł Oświȩcimka, Marek Stanuszek
arXiv 20 Dec 2018 · Finance — Statistical Finance · publishedEnergy Economics (2019) · 87 citations (OpenAlex)
arXiv:1812.08548 · PDF · DOI · OpenAlex · Extracted main text
Statistical and multiscaling characteristics of WTI Crude Oil prices expressed in US dollar in relation to the most traded currencies as well as to gold futures and to the E-mini S$&$P500 futures prices on 5 min intra-day recordings in the period January 2012 - December 2017 are studied. It is shown that in most of the cases the tails of return distributions of the considered financial instruments follow the inverse cubic power law. The only exception is the Russian ruble for which the distribution tail is heavier and scales with the exponent close to 2. From the perspective of multiscaling the analysed time series reveal the multifractal organization with the left-sided asymmetry of the corresponding singularity spectra. Even more, all the considered financial instruments appear to be multifractally cross-correlated with oil, especially on the level of medium-size fluctuations, as the multifractal cross-correlation analysis carried out by means of the multifractal cross-correlation analysis (MFCCA) and detrended cross-correlation coefficient $\rho_q$ show. The degree of such cross-correlations is however varying among the financial instruments. The strongest ties to the oil characterize currencies of the oil extracting countries. Strength of this multifractal coupling appears to depend also on the oil market trend. In the analysed time period the level of cross-correlations systematically increases during the bear phase on the oil market and it saturates after the trend reversal in 1st half of 2016. The same methodology is also applied to identify possible causal relations between considered observables. Searching for some related asymmetry in the information flow mediating cross-correlations indicates that it was the oil price that led the Russian ruble over the time period here considered rather than vice versa.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Kwapień, J., Oświecimka, P., & Drożdż, S (2015) Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations | 1.000 | 6 | 3 | 100% |
| 2 | Oświecimka, P., Drożdż, S., Forczek, M., Jadach, S., & Kwapień, J (2014) Detrended cross-correlation analysis consistently extended to multifractality | 1.000 | 5 | 3 | 100% |
| 3 | Drożdż, S., & Oświecimka, P (2015) Detecting and interpreting distortions in hierarchical organization of complex time series | 0.737 | 3 | 2 | 100% |
| 4 | Kantelhardt, J. W., Zschiegner, S. A., Koscielny-Bunde, E., Havlin,… (2002) Multifractal detrended fluctuation analysis of nonstationary time series | 0.737 | 3 | 2 | 100% |
| 5 | Ferreira, P., de Area Leao Pereira, E. J., da Silva, M. F., & Pereir… (2019) Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis | 0.644 | 2 | 2 | 100% |
| 6 | Hussain, M., Zebende, G. F., Bashir, U., & Donghong, D (2017) Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach | 0.644 | 2 | 2 | 100% |
| 7 | Li, J., Lu, X., & Zhou, Y (2016) Cross-correlations between crude oil and exchange markets for selected oil rich economies | 0.644 | 2 | 2 | 100% |
| 8 | Ma, F., Wei, Y., Huang, D., & Zhao, L (2013) Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC | 0.644 | 2 | 2 | 100% |
| 9 | Ma, F., Zhang, Q., Peng, C., & Wei, Y (2014) Multifractal detrended cross-correlation analysis of the oil-dependent economies: Evidence from the West Texas intermediate crud… | 0.644 | 2 | 2 | 100% |
| 10 | Pal, M., Rao, P. M., & Manimaran, P (2014) Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series | 0.644 | 2 | 2 | 100% |
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2607.13916 | 0.405 | 1 | 1 |