MULTIFRACTAL BEHAVIOUR IN OIL PRICES BY USING MF-DFA AND WTMM METHODS

Abstract

This study analyses the multifractal properties of the most prominent oil-related derivative which is ‘‘WTI’’ since the West Texas Intermediate grade of crude oil for delivery at Cushing, Oklahoma. To be able to test multifractality of the WTI prices, we used two different methodologies which are multifractal detrended fluctuation analysis (MF - DFA) and wavelet transform modulus maxima (WTMM).