DYNAMIC FEATURES OF CHINA'S CRUDE OIL PRICE BASED ON MULTI-SCALE ENTROPY

This paper uses multi-scale entropy methods to investigate the evolution of China's crude oil price and its market efficiency,which non-linearly depends on the time-scale,higher at small time-scale(day to month) and lower at big time-scale(over one quarter),which means a higher predictability for a long term.Due to a change in outer impact or market drive,the market efficiency can vary largely with time and time-scale.The market efficiency during 2003-2011 remained stable.It catches up with economy in a long term,higher during economic bloom and lower during recession.