Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine War

This paper examines the self-similarity (long memory) in prices of crude oil markets, namely Brent and West Texas Instruments (WTI), by means of fractals. Specifically, price series are decomposed by stationary wavelet transform (SWT) to obtain their short and long oscillations. Then, the Hurst exponent is estimated from each resulting oscillation by rescaled analysis (R/S) to represent hidden fractals in the original price series. The analysis is performed during three periods: the calm period (before the COVID-19 pandemic), the COVID-19 pandemic, and the Russia-Ukraine war. In summary, prices of Brent and WTI exhibited significant increases in persistence in long movements during the COVID-19 pandemic and the Russia-Ukraine war. In addition, they showed a significant increase in anti-persistence in short movements during the pandemic and a significant decrease in anti-persistence during the Russia-Ukraine war. It is concluded that both COVID-19 and the Russia-Ukraine war significantly affected long memory in the short and long movements of Brent and WTI prices.