Visibility Graph Analysis of Crude Oil Futures Markets: Insights from the COVID-19 Pandemic and Russia–Ukraine Conflict
Abstract
This paper adopts the visibility graph (VG) methodology to analyze the dynamic behavior of West Texas Intermediate (WTI), Brent and Shanghai (SC) crude oil futures during the COVID-19 pandemic and Russia–Ukraine conflict. Utilizing daily and high-frequency data, our study reveals a clear power-law decay in VG degree distributions and highlights pronounced clustering tendencies within crude oil futures VGs. We also uncover an inverse correlation between clustering coefficients and node degrees, further identifying that all VGs adhere not only to the small-world property but also exhibit intricate assortative mixing. Through the time-varying characteristics of VGs, we observe that WTI and Brent demonstrate aligned behaviors, while the SC market, with its unique trading mechanisms, deviates. Notably, the five-minute assortativity coefficient provides deep insights into the markets reactions to these global challenges, underscoring the distinct sensitivity of each market.
Communicated by Wei-Xing Zhou