Random fractal structures in North American energy markets

This paper uses daily observations on West Texas Intermediate (WTI) crude oil prices at Chicago and Henry Hub natural gas prices at LA (over the deregulated period of the 1990s) and various tests from statistics and dynamical systems theory to support a random fractal structure for North American energy markets. In particular, this evidence is supported by the Vassilicos et al. (1993) multifractal structure test and the Ghashghaie et al. [Nature 381 (1996) 767] turbulent behavior test.

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