Daily records of international crude oil prices are studied by means of a Zipf-type analysis. By using simple up-down information on price fluctuations, we have observed phase transitions between symmetric states, where occurrence of up and down fluctuations are almost equal, to anti-symmetric...

A simple agent-based model is used to propose an explanation of the source of long-run memory in financial markets. It is shown that the resulting model is equivalent to a neutral-type differential equation in the price dynamics, which displays a persistence property that can be related to...

Daily records of international crude oil prices are studied using multifractal analysis methods. Rescaled range Hurst analysis provides evidence that the crude oil market is a persistent process with long-run memory effects. On the other hand, height–height correlation analysis reveals...