Fluctuation and volatility dynamics of stochastic interacting energy futures price model

Abstract The price dynamics of energy futures market is important factor affecting the global economy. This paper introduces a novel stochastic interacting energy futures price model to simulate price dynamics mechanism of energy futures market, where the two-dimension stochastic interacting epidemic system and random jump process are used to describe the most common and small price changes from interaction mechanism and the extreme and large changes from some external environments, respectively. Then, two statistics - daily logarithmic return and volatility duration average intensity (VDAI) are used to study the price fluctuation and volatility dynamics of the proposed model. In order to validate the rationality of the energy futures price model, the return series and VDAI series of the simulation data are investigated by some statistical analysis methods and complexity methods, which are compared with those of three important crude oil futures. The empirical results show that the proposed model can reproduce the price fluctuation and volatility dynamics of real crude oil futures market in terms of some statistical properties and complexity behaviors.