Multifractal analysis of petrol and diesel prices in the Czech Republic
| Author: | Mgr. Martin Baletka |
|---|---|
| Year: | 2013 - summer |
| Leaders: | prof. PhDr. Ladislav Krištoufek Ph.D. |
| Consultants: | |
| Work type: | Finance, Financial Markets and Banking Masters |
| Language: | English |
| Pages: | 64 |
| Awards and prizes: | M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance. |
| Link: | |
| Abstract: | This thesis examines scaling properties of petrol and diesel prices in the Czech Republic and a crude oil price over the period from January 2004 to February 2013. Using generalised Hurst exponent and multifractal detrended fluctuation analysis techniques we find out that crude oil market is efficient, do not contain long memory and the returns exhibit monofractal behaviour. On the other hand, petrol and diesel markets in the Czech Republic are not efficient, because their returns contain long-range dependence in autocorrelations and exhibit multifractal behaviour caused mostly by fat-tailed distribution. Thus, fuels can be modelled by complex methods like Markov switching multifractal model. |
