文献类型：期刊文献

英文题名：Extreme-volatility dynamics in crude oil markets

作者：Jiang, Xiong-Fei[1,2,3];Zheng, Bo[3,4];Qiu, Tian[5];Ren, Fei[6]

机构：[1]Ningbo Dahongying Univ, Sch Informat Engn, Ningbo 315175, Zhejiang, Peoples R China;[2]Ningbo Dahongying Univ, Res Ctr Finance Comp, Ningbo 315175, Zhejiang, Peoples R China;[3]Zhejiang Univ, Dept Phys, Hangzhou 310027, Zhejiang, Peoples R China;[4]Collaborat Innovat Ctr Adv Microstruct, Nanjing 210093, Jiangsu, Peoples R China;[5]Nanchang Hangkong Univ, Sch Informat Engn, Nanchang 330063, Jiangxi, Peoples R China;[6]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2017

卷号：90

期号：2

外文期刊名：EUROPEAN PHYSICAL JOURNAL B

收录：;EI(收录号：20170803379558);WOS:【SSCI(收录号:WOS:000401990700001)，SCI-EXPANDED(收录号:WOS:000401990700001)】；

基金：This work was supported in part by NNSF of China under Grants Nos. 11505099, 11375149 and 11175079, Zhejiang Provincial Non-Profit Fund for Applied Research under Grant No. 2016C33248, Ningbo Natural Science Foundation under Grant No. 2015A610160, Fok Ying Tong Education Foundation under Grant No. 132013.

语种：英文

外文关键词：Crude oil - Dynamics - Commerce - Time measurement

摘要：Based on concepts and methods from statistical physics, we investigate extreme-volatility dynamics in the crude oil markets, using the high-frequency data from 2006 to 2010 and the daily data from 1986 to 2016. The dynamic relaxation of extreme volatilities is described by a power law, whose exponents usually depend on the magnitude of extreme volatilities. In particular, the relaxation before and after extreme volatilities is time-reversal symmetric at the high-frequency time scale, but time-reversal asymmetric at the daily time scale. This time-reversal asymmetry is mainly induced by exogenous events. However, the dynamic relaxation after exogenous events exhibits the same characteristics as that after endogenous events. An interacting herding model both with and without exogenous driving forces could qualitatively describe the extreme-volatility dynamics.