Multi-fractal Analysis of World Crude Oil Prices

In order to reveal the stylized facts of world crude oil prices, R/S (Rescaled Range Analysis) method is introduced in this paper. For illustration, WTI (West Texas Intermediate) and Brent daily crude oil prices are used in this paper. The calculated results show that both Hurst exponents (H) are larger than 0.5 and both memory terms are 12 days coincident. The results tell that these two oil prices are persistent processes with time memory effects; however, this memory is limitary because the memory terms are both so short. The results are beneficial to crude oil prices forecast and can give some suggestions for policy making.