In recent months, the crude oil market has shown an abnormal behavior as compared with the previous 20 years. The most relevant feature of it being the high-level prices, well beyond the most pessimistic forecasting of a couple of years ago. The aim of this paper is to show that the crude oil...

Price formation in crude oil markets is the result of the action of many participants (e.g., producers, governments, speculators, etc.) whose effects are perceived at different time scales, from days to years. The diversity of participants as well as the occurrence of extreme socio-political...

A critical issue for central banks in modern economies is the inflation stabilization about a prescribed level. The best-known simple instrumental rule to guide monetary policy to control inflation is the Taylor rule, where the instrument (e.g., a short interest rate) responds to changes in the...

In this paper, a deterministic framework for modeling stock market dynamics is presented. The model is based on assets conservation principles and consists of a series of differential equations describing the dynamics of assets trading, and a (nonlinear) functional equation describing trade...

Daily records of international crude oil prices are studied using multifractal analysis methods. Rescaled range Hurst analysis provides evidence that the crude oil market is a persistent process with long-run memory effects. On the other hand, height–height correlation analysis reveals...

Markets have internal dynamics leading to stilized facts, such as fat-tails in price fluctuations and long-run memory. In this paper, we use a nonequilibrium price formation rule to explore feedback effects in trading strategies and market dynamics. By interpreting trading strategies as a...