Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil

By Yudong Wang, Yu Wei, Chongfeng Wu. 2011

130 citations recorded by the source corpus.

Subfields: Condensed Matter Physics, Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/bb401ef112d227cdedfb7e21398621b7a20a8f1c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Condensed Matter Physics

1. Longbing Xu
2. Jie Cao
3. Miloslav S. Vosvrda
4. Ladislav Kristoufek
5. Guangxi Cao

In Economics and Econometrics

1. Miloslav S. Vosvrda
2. Ladislav Kristoufek
3. Guangxi Cao
4. Longbing Xu
5. Jie Cao
6. Adem Kılıçman
7. Foad Shokrollahi
8. Ayoub Ammy-Driss

In Statistical and Nonlinear Physics

1. Miloslav S. Vosvrda
2. Guangxi Cao
3. Longbing Xu
4. Jie Cao
5. Adem Kılıçman
6. Ladislav Kristoufek

Citations in the corpus

• Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA (2013, background): “[35], is evident in many econophysics examples [36].”
• Commodity futures and market efficiency (2013, methodology): “Also using the detrended fluctuation analysis, Wang et al. (2011) argue that WTI crude oil spot and futures are not efficient for time scales shorter than one month.”
• Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment (2014, background): “Moreover, some empirical studies have proved that this hypothesis is useful and applicable; see [46–51].”