Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine War
This paper examines the self-similarity (long memory) in prices of crude oil markets, namely Brent and West Texas Instruments (WTI), by means of fractals. Specifically, price series are decomposed by stationary wavelet transform (SWT) to obtain their short and long oscillations. Then, the Hurst expo...
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MDPI AG
2025-03-01
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| Series: | Fractal and Fractional |
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| Online Access: | https://www.mdpi.com/2504-3110/9/3/176 |
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| author | Salim Lahmiri |
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| collection | DOAJ |
| description | This paper examines the self-similarity (long memory) in prices of crude oil markets, namely Brent and West Texas Instruments (WTI), by means of fractals. Specifically, price series are decomposed by stationary wavelet transform (SWT) to obtain their short and long oscillations. Then, the Hurst exponent is estimated from each resulting oscillation by rescaled analysis (R/S) to represent hidden fractals in the original price series. The analysis is performed during three periods: the calm period (before the COVID-19 pandemic), the COVID-19 pandemic, and the Russia-Ukraine war. In summary, prices of Brent and WTI exhibited significant increases in persistence in long movements during the COVID-19 pandemic and the Russia-Ukraine war. In addition, they showed a significant increase in anti-persistence in short movements during the pandemic and a significant decrease in anti-persistence during the Russia-Ukraine war. It is concluded that both COVID-19 and the Russia-Ukraine war significantly affected long memory in the short and long movements of Brent and WTI prices. |
| format | Article |
| id | doaj-art-7b49a71711964df68009eb054413ea11 |
| institution | Kabale University |
| issn | 2504-3110 |
| language | English |
| publishDate | 2025-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Fractal and Fractional |
| spelling | doaj-art-7b49a71711964df68009eb054413ea112025-08-20T03:43:31ZengMDPI AGFractal and Fractional2504-31102025-03-019317610.3390/fractalfract9030176Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine WarSalim Lahmiri0Supply Chain and Business Technology Management Department, John Molson School of Business, Concordia University, Montreal, QC H3H 0A1, CanadaThis paper examines the self-similarity (long memory) in prices of crude oil markets, namely Brent and West Texas Instruments (WTI), by means of fractals. Specifically, price series are decomposed by stationary wavelet transform (SWT) to obtain their short and long oscillations. Then, the Hurst exponent is estimated from each resulting oscillation by rescaled analysis (R/S) to represent hidden fractals in the original price series. The analysis is performed during three periods: the calm period (before the COVID-19 pandemic), the COVID-19 pandemic, and the Russia-Ukraine war. In summary, prices of Brent and WTI exhibited significant increases in persistence in long movements during the COVID-19 pandemic and the Russia-Ukraine war. In addition, they showed a significant increase in anti-persistence in short movements during the pandemic and a significant decrease in anti-persistence during the Russia-Ukraine war. It is concluded that both COVID-19 and the Russia-Ukraine war significantly affected long memory in the short and long movements of Brent and WTI prices.https://www.mdpi.com/2504-3110/9/3/176crude oil marketBrentWTIstationary wavelet transformlong memoryHurst exponent |
| spellingShingle | Salim Lahmiri Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine War Fractal and Fractional crude oil market Brent WTI stationary wavelet transform long memory Hurst exponent |
| title | Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine War |
| title_full | Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine War |
| title_fullStr | Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine War |
| title_full_unstemmed | Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine War |
| title_short | Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine War |
| title_sort | analysis of self similarity in short and long movements of crude oil prices by combination of stationary wavelet transform and range scale analysis effects of the covid 19 pandemic and russia ukraine war |
| topic | crude oil market Brent WTI stationary wavelet transform long memory Hurst exponent |
| url | https://www.mdpi.com/2504-3110/9/3/176 |
| work_keys_str_mv | AT salimlahmiri analysisofselfsimilarityinshortandlongmovementsofcrudeoilpricesbycombinationofstationarywavelettransformandrangescaleanalysiseffectsofthecovid19pandemicandrussiaukrainewar |