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Energy, Ecology and Environment

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01.08.2016 | Original Article

The spatiotemporal dynamic analysis of the implied market information and characteristics of the correlation coefficient matrix of the international crude oil price returns

verfasst von: Lixin Tian, Zhenqi Ding, Minggang Wang, Zaili Zhen

Erschienen in: Energy, Ecology and Environment | Ausgabe 4/2016

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Abstract

The international crude oil market plays a crucial role in economies, and the studies of the correlation, risk and synchronization of the international crude oil market have important implications for the security and stability of the country, avoidance of business risk and people’s daily lives. We investigate the information and characteristics of the international crude oil market (1999–2015) based on the random matrix theory (RMT). Firstly, we identify richer information in the largest eigenvalues deviating from RMT predictions for the international crude oil market; the international crude oil market can be roughly divided into ten different periods by the methods of eigenvectors and characteristic combination, and the implied market information of the correlation coefficient matrix is advanced. Secondly, we study the characteristics of the international crude oil market by the methods of system risk entropy, dynamic synchronous ratio, dynamic non-synchronous ratio and dynamic clustering algorithm. The results show that the international crude oil market is full of risk. The synchronization of the international crude oil market is very strong, and WTI and Brent occupy a very important position in the international crude oil market.

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Titel: The spatiotemporal dynamic analysis of the implied market information and characteristics of the correlation coefficient matrix of the international crude oil price returns
verfasst von: Lixin Tian
Zhenqi Ding
Minggang Wang
Zaili Zhen
Publikationsdatum: 01.08.2016
Verlag: Joint Center on Global Change and Earth System Science of the University of Maryland and Beijing Normal University
Erschienen in: Energy, Ecology and Environment / Ausgabe 4/2016
Print ISSN: 2363-7692
Elektronische ISSN: 2363-8338
DOI: https://doi.org/10.1007/s40974-016-0035-6

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