Crossover from antipersistent to persistent behavior in time series possessing the generalyzed dynamic scaling law.
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.
Balankin
Alexander S
AS
Sección de Posgrado e Investigación, ESIME, Instituto Politécnico Nacional, México D.F. 07738, Mexico and Instituto Mexicano de Petróleo, México D.F. 07730, Mexico.
Morales Matamoros
Oswaldo
O
Gálvez
Ernesto
E
Pérez
Alfonso
A