This paper analyzes the auto-correlations of international crude oil prices on the basis of the estimation of the Hurst exponent dynamics for returns over the period from 1987 to 2007. In doing so, a model-free statistical approach--detrended fluctuation analysis--that reduces the effects of...

Empirical research on market inefficiencies focuses on the detection of autocorrelations in price time series. In the case of crude oil markets, statistical support is claimed for weak efficiency over a wide range of time-scales. However, the results are still controversial since theoretical...

Price formation in crude oil markets is the result of the action of many participants (e.g., producers, governments, speculators, etc.) whose effects are perceived at different time scales, from days to years. The diversity of participants as well as the occurrence of extreme socio-political...

In the last years, many electricity markets were subjected to deregulated operation where prices are set by the action of market participants. In this form, producers and consumers rely on demand and price forecasts to decide their bidding strategies, allocate assets, negotiate bilateral...