IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v660y2025ics0378437125000366.html
   My bibliography  Save this article

Asymmetric autocorrelation in the crude oil market at multiple scales based on a hybrid approach of variational mode decomposition and quantile autoregression

Author

Listed:
  • Ding, Xinpeng
  • He, Jiayi
  • Zhang, Yali
  • Yin, Yi

Abstract

Heterogeneous dependence and memory effects are widely recognized in financial markets, including the crude oil future market. However, few studies have examined the correlation between heterogeneous dependence and memory effects. This association reveals differences in the different memory-trait components, yet the literature is lacking. Our study aims to uncover heterogeneous dependence and memory effects on crude oil future returns and their components at multiple scales and to explain the asymmetry of dependence patterns in the crude oil market through the perspective of irrational investor behavior induced by memory effects. The regressions in this study are based on West Texas Intermediate (WTI) crude oil future prices from 1983 to 2023. We propose a hybrid approach that combines variational mode decomposition (VMD) and quantile autoregression (QAR) to process the return and fluctuation series. Similar to the stock market, we find that the QAR coefficients vary across quantiles. The coefficients are positive for the long-term memory component and negative for the anti-persistent component, indicating the momentum and revert effects. The impacts of extreme lagged returns and negative lagged returns on the distribution of coefficients are evident not only in the return series but also in the two components. Lagged fluctuation and extreme lagged fluctuation accelerate the current fluctuation growth at higher quantiles due to rapid accumulation. Finally, the robustness test confirms that the VMD-QAR method is more resistant to noise and sampling disturbances compared to existing methods. Our study contributes to the analysis of the crude oil market in terms of theoretical and analytical methods in finance.

Suggested Citation

  • Ding, Xinpeng & He, Jiayi & Zhang, Yali & Yin, Yi, 2025. "Asymmetric autocorrelation in the crude oil market at multiple scales based on a hybrid approach of variational mode decomposition and quantile autoregression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 660(C).
  • Handle: RePEc:eee:phsmap:v:660:y:2025:i:c:s0378437125000366
    DOI: 10.1016/j.physa.2025.130384
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437125000366
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    File URL: https://libkey.io/10.1016/j.physa.2025.130384?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:660:y:2025:i:c:s0378437125000366. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.