Long memory and crude oil’s price predictability

Journal article


Cerqueti, R. and Fanelli, V. (2019). Long memory and crude oil’s price predictability. Annals of Operations Research. pp. 1-12.
AuthorsCerqueti, R. and Fanelli, V.
Abstract

This paper discusses the usefulness of the long term memory property in price prediction. In particular, the Hurst’s exponents related to a wide set of portfolios generated by three crude oils are estimated by using the detrended fluctuation analysis. To this aim, the daily empirical data on West Texas Intermediate, Brent crude oil and Dubai crude oil for a period of more than 10 years have been considered. It is shown that specific combinations are associated to persistence/antipersistence long-run behaviors, and this highlights the presence of statistical arbitrage opportunities. Such an outcome shows that long term memory can effectively serve as price predictor.

This is a post-peer-review, pre-copyedit version of an article published in Annals of Operations Research. The final authenticated version is available online at: http://dx.doi.org/10.1007/s10479-019-03376-y.

Year2019
JournalAnnals of Operations Research
Journal citationpp. 1-12
PublisherSpringer Science and Business Media LLC
ISSN0254-5330
Digital Object Identifier (DOI)doi:10.1007/s10479-019-03376-y
Web address (URL)https://link.springer.com/article/10.1007%2Fs10479-019-03376-y
Publication dates
Online20 Sep 2019
Publication process dates
Accepted20 Aug 2019
Deposited11 Feb 2020
Accepted author manuscript
License
CC BY 4.0
File Access Level
Open
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https://openresearch.lsbu.ac.uk/item/89067

Accepted author manuscript

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