title: Crossover from antipersistent to persistent behavior in time series possessing the generalyzed dynamic scaling law.
abstract: The behavior of crude oil price volatility is analyzed within a conceptual framework of kinetic roughening of growing interfaces. We find that the persistent long-horizon volatilities satisfy the Family-Viscek dynamic scaling ansatz, whereas the mean-reverting in time short horizon volatilities obey the generalized scaling law with continuously varying scaling exponents. Furthermore we find that the crossover from antipersistent to persistent behavior is accompanied by a change in the type of volatility distribution. These phenomena are attributed to the complex avalanche dynamics of crude oil markets and so a similar behavior may be observed in a wide variety of physical systems governed by avalanche dynamics.
authors.affiliation: Sección de Posgrado e Investigación, ESIME, Instituto Politécnico Nacional, México D.F. 07738, Mexico and Instituto Mexicano de Petróleo, México D.F. 07730, Mexico.
authors.forename: Alexander S
authors.initials: AS
authors.lastname: Balankin
authors.forename: Oswaldo
authors.initials: O
authors.lastname: Morales Matamoros
authors.forename: Ernesto
authors.initials: E
authors.lastname: Gálvez
authors.forename: Alfonso
authors.initials: A
authors.lastname: Pérez