In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at...

Based on time series of crude oil prices (daily spot), this paper analyses price fluctuation with two significant parameters [tau] (speculators' time scales of investment) and [epsilon] (speculators' expectations of return) by using Zipf analysis technique, specifically, by mapping [tau]-returns...

The fractal behaviour for petroleum pricing is investigated in several international systems. Based on the time series of Brent & WTI crude oil and Rotterdam & Singapore Leaded gasoline prices (daily spot), this paper analyses the fractal features in the systems under study by using Rescaled...

The fractal behaviour for petroleum pricing is investigated in several international systems. Based on the time series of Brent & WTI crude oil and Rotterdam & Singapore Leaded gasoline prices (daily spot), this paper analyses the fractal features in the systems under study by using Rescaled...

Nonlinear dependency between characteristic financial and commodity market quantities (variables) is crucially important, especially between trading volume and market price. Studies on nonlinear dependency between price and volume can provide practical insights into market trading...

In this article, we investigated the multifractality and its underlying formation mechanisms in international crude oil markets, namely, Brent and WTI, which are the most important oil pricing benchmarks globally. We attempt to find the answers to the following questions: (1) Are those different...

Based on Partition Function and Multifractal Spectrum Analysis, we investigated the nonlinear dynamical mechanisms in China’s agricultural futures markets, namely, Dalian Commodity Exchange (DCE for short) and Zhengzhou Commodity Exchange (ZCE for short), where nearly all agricultural futures...

We proposed a new method: Detrended Moving-average Cross-correlation Analysis (DMCA) to detect the power-law cross-correlation between two correlated non-stationary time series by combining Detrended Cross-Correlation Analysis (DCCA) and Detrended Moving Average (DMA). In order to compare the...

Road transport today is responsible for a significant and growing share of anthropogenic emissions and energy consumption. This paper attempts to address the possible policy measures to reduce the energy consumption and mitigate the harmful emissions, especially greenhouse gas (GHG) from China's...