The (in)efficiency of NYMEX energy futures: A multifractal analysis

We performed a systematic analysis to investigate the multifractal properties and Efficient Market Hypothesis (EMH) in time series of volatility for NYMEX (New York Mercantile Exchange) energy futures using the Multifractal Detrended Fluctuations Analysis (MF-DFA). We studied the generalized Hurst exponent h(q) and the Rényi exponent τ(q) for each record and quantify their statistical properties which allowed us to observe separately the contributing small scale (primarily via the negative moments q) and the large scale (via the positive moments q). We also calculated the multifractal spectrum f(α) and used a fourth-degree polynomial regression fit to estimate the complexity parameters that describe the degree of multifractality of the underlying process. The results obtained from our fitting procedure show that the volatility time series of NYMEX energy futures display overall persistent behavior (α0>0.5), a higher degree of multifractality and the dominance of large fluctuations. In this sense, our empirical results related to (α0>0.5) categorically reject the EMH. Furthermore, our results presented that Crude oil (Light-Sweet, Cushing, Oklahoma), the No. 2 heating oil (New York Harbor) and Propane (Mont Belvieu, Texas) energy futures are highly concentrated with behavior more closely associated to oligopolistic market.