Research On The Comovement Of Crude Oil Markets Using Correlation Network Model Based On The Crude Oil Price Time Series

The development of crude oil market has a great effect on the global economics and society. Various comovement relationships, formed by different regions and forms of crude oil markets, are reflected through the volatile correlation characteristics between crude oil prices. The comovement between crude oil markets reveals the integrated structural characteristic of global crude oil markets, which can provide the valuable market information for market participants. How to determine the comovement characteristic between crude oil markets through analyzing the volatile correlation relationship between crude oil price time series to aid decision-makers during decision-making process is always one of challenging subjects in the field of energy economy. Therefore, this paper designs a new correlation network model based on crude oil price time series and studies three representative comovement relationships, they are the comovement between different regional crude oil markets, between different crude future and spot markets and between international and Chinese crude oil markets. The findings and innovative contribution of this paper mainly embodies in the following ways:(1) The previous research mainly focused on one-to-one crude oil price time series to design the correlation analysis model, ignoring the real many-to-many structural characteristics of global crude oil market. This study proposes a new combination model using grey relational degree time series to describe dynamical comovement characteristics between different crude oil markets, using multi-wavelets and optimization analysis to extract multi-period characteristics of various dynamical comovement relationships to cover the shortage of single wavelet analysis to provide more reasonable multi-period strategy reference, and using network model to analyze the complex structural characteristics of various comovement relationships between different crude oil markets to provide key reference objects and strategy period for making combination strategy.(2) Various comovement relationships between different crude oil regional markets not only promote the development of global crude oil market, and also reveal the structural characteristics of global crude oil market. This study used the grey relational degree to describe the dynamical correlation relationship between various representative crude oil prices of different crude oil regional markets, and used network model to analyze the structural comovement relationship between different crude oil regional markets showed by the dynamical correlation relationship of crude oil price volatility. The multi-period evolution and leading period of the integration, diversification and spillover effect of global crude oil market are determined, which extend the limited findings of previous research only focused on fuzzy long-term characteristics, to provide clearer reference strategy period. Two relatively stable collectivization structures during global crude oil market are determined to provide key reference objects for decision-makers to grasp the change of global crude oil market and to make combination strategy. The key leading periods of the structural characteristics are found to provide main monitoring targets for decision-makers to grasp the development trend of crude oil market.(3) The comovement relationship of crude oil future and spot markets not only reflects development characteristics of global crude oil market from the respective of market investment, and also provide the important reference information for cross-market investors to avoid risk. This study calculated various grey relational degree time series between different global crude oil future and spot benchmark prices to describe dynamical comovement relationships between different crude oil future and spot markets, which can cover the shortage of limits of static comovement relationship in previous research. The multi-stage and multi-period evolution characteristics of volatile intensity of dynamical comovement relationship reveal the dominant risk period. The advantageous decision-making reference is determined by analyzing the integrated structural characteristics of various comovement relationships between different crude oil future and spot markets. Based on the network model of minimum risk period, the collectivization structure and key comovement relationships are analyzed to reveal the effect of the inversion of crude oil prices and to provide the main reference targets and early warning and monitoring objects for advanced cross-market combination strategy.(4) The comovement relationship between international and Chinese crude oil markets not only reflects the influence of international market on Chinese market, and also provide reference information for Chinese government to make early warning mechanism and pricing strategy. This study calculated various grey relational degree between different international crude oil benchmark prices and Chinese Daqing crude oil price to describe the dynamical influence of international market on Chinese market, which can cover the shortage of the limits of static influence. The multi-stage evolution and key leading factors of the correlation degree and comovement stability between different international markets and Chinese market are analyzed to provide a new perspective to discover the shortage of existed single-linked pricing strategy and to provide the main monitoring targets for advanced early warning mechanism of crude oil price. Focused on the dominant period of comovement stability, the integrated lead-lag network model of various comovement relationships is constructed to determine the main reference targets and corresponding decision-making period weights, which can cover the limits of single lead-lag analysis and promote the pertinence and effectiveness of combination strategy.