Efficient market hypothesis in the international oil price fluctuation: based on the MF-DFA model

In light of the continual substantial divergences between mainstream economics and econophysics in regard to the market efficiency of international oil price volatility, a model based on multifractal detrended fluctuation analysis is built up to conduct an in-depth research into the validity and predictability of the international oil market, using weekly data of spot price indexes in the three international crude oil markets and reflecting the auto-correlation of oil price and speculation of external market. Our empirical results reveal that: (1) statistically, all previous changes in the international oil price are not completely independent; (2) an anti-persistence correlation and memory begins to characterise the international oil market under the influence of a large-scale capital speculation in financial market; (3) the international oil market presents a long-range auto-correlation and memory feature of finance market under the internal and external effects of auto-correlation and capital speculation respectively.