Espinosa-Paredes G, Rodriguez E, Alvarez-Ramirez J
Area de Ingeniería en Recursos Energéticos, Mexico.
Area de Computación, Mexico.
Chaos Solitons Fractals. 2022 Jul;160:112238. doi: 10.1016/j.chaos.2022.112238. Epub 2022 May 23.
This work investigates the impact of the Covid-19 outbreak on crude oil market efficiency. The approach is based on the singular value decomposition (SVD) entropy. Iso-distributional surrogate data test was used to contrast the results against random patterns, and phase randomization based on Fourier transform was used to assess nonlinearities. The analysis considered the WTI market and focused on the Covid-19 pandemic period January 2020-November 2021 and contrasted with the long preceding period from January 2000 to date. It was found that the crude oil market was informationally efficient most of the time with small sporadic deviations from efficiency in the pre-Covid-19 years. The Covid-19 period exhibited the largest deviations from efficiency, mainly in the first months of the outbreak, accompanied by a marked reduction of nonlinear components. The analysis was conducted for different scales, and the results showed that the deviations from efficiency were more pronounced for quarterly scales. For the sake of comparison, the analysis was also carried out on the trading volume dynamics and the results showed that the market activity is not fully random. The dynamics of the trading volume exhibited significant deviations from the randomness behavior when the crude oil market was efficient, and a behavior that was consistent with nonlinear patterns. The opposite behavior was noted for stages when the crude oil market showed strong deviations from efficiency. Overall, the findings of this study suggest an increasing opportunity for crude oil price predictions and abnormal returns during the Covid-19 pandemic.
本研究探讨了新冠疫情爆发对原油市场效率的影响。研究方法基于奇异值分解（SVD）熵。使用等分布替代数据测试将结果与随机模式进行对比，并使用基于傅里叶变换的相位随机化来评估非线性。分析考虑了西德克萨斯中质油（WTI）市场，重点关注2020年1月至2021年11月的新冠疫情时期，并与2000年1月至今的较长前期进行对比。研究发现，原油市场在大多数时候信息有效，在新冠疫情前的年份偶尔会出现与效率的小偏差。新冠疫情期间与效率的偏差最大，主要在疫情爆发的头几个月，同时非线性成分显著减少。分析在不同尺度上进行，结果表明季度尺度上与效率的偏差更为明显。为作比较，还对交易量动态进行了分析，结果表明市场活动并非完全随机。当原油市场有效时，交易量动态与随机行为存在显著偏差，且表现出与非线性模式一致的行为。在原油市场与效率存在强烈偏差的阶段，观察到相反的行为。总体而言，本研究结果表明，在新冠疫情期间，原油价格预测和异常回报的机会增加。
