Category Archives: English

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Oil prices: oversupply, speculation, inefficiency

The price of oil is usually refers to the spot price of a barrel of benchmark crude oil. In North America, the most common oil price indicator is the West Texas Intermediate (WTI) Cushing Crude Oil Spot Price, representing the price of the Texas Light Sweet crude oil which is traditionally used as a benchmark for New York Mercantile Exchange (NYMEX) oil futures contracts. The leading global price benchmark for Atlantic […]

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Predictability of electricity prices (Energy Economics, 2015)

In this project we investigated predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the probability distributionanalysis we showed that the studied markets exhibit strongly anti-persistent properties suggesting that their dynamics can be predicted based on historic price records across the range of time scales from one hour to one month. […]

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Analysis of the US Stock Market (Int J Bifurcation & Chaos, 2008)

Based on the detrended fluctuation analysis of the Dow Jones Industrial Average (DJIA) index, we demonstrate that the U.S. stock market operates close to the state predicted by the efficient market hypothesis. The observed transient deviations from this state are shown to have a statistical origin as they also appear in purely random geometric Brownian motion models of the DJIA dynamics. Serletis А., Uritskaya O.Y., & Uritsky V.М. Detrended Fluctuation […]

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Multiscale inefficiency (Energy Economics, 2008)

One of the basic features of efficient markets is the absence of correlations between price increments leading to random walk-type behavior of prices. In this paper, we propose a new approach for measuring deviations from the efficient market state based on an analysis of scale-dependent fractal exponent characterizing correlations at different time scales. The approach is applied to two electricity markets, Alberta and Mid Columbia (Mid-C), as well as to […]

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Self-organization in US money (Physica A, 2007)

In this study, we continued the research by Serletis and Shintani by applying the method of detrended fluctuation analysis (DFA) introduced by Peng and adapted to the analysis of long-range correlations in economic data by Uritskaya to investigate the dynamical structure of United States money and velocity measures. We used monthly data over the time period from 1959:1 to 2006:2, at each of the four levels of monetary aggregation, M1, […]

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Forecasting Crisis Magnitude ( Proc. SPIE, 2005)

We demonstrate a possibility of using fractal analysis methods for understanding nonlinear dynamical mechanisms of catastrophic events in economic systems and quantifying their global stability. Based on an analysis of floating currency exchange rates in more than 30 countries for a 10-year period, it is found that deviations of national monetary systems from optimally stable states correlate with deviations of the detrended fluctuation analysis (DFA) index of currency fluctuations from […]

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