摘要翻译：
我们对WTI原油期货价格（1983-2012）进行了去中心化移动平均线分析(DMA)和去中心化波动分析(DFA)来考察其有效性。我们进一步提出了一个严格的统计检验，以DMA（或DFA）指数作为统计量来验证弱式市场效率假说。我们验证了原油期货市场在考虑整个周期时的弱式有效性。当我们把整个序列分成三个子序列，分别是海湾战争和伊拉克战争的爆发时，我们的统计检验发现只有海湾战争有降低原油市场效率的影响。如果我们以北美自由贸易协定的签署日期为基础，将整个时间序列拆分为两个子序列，我们发现在海湾战争爆发的子时段，市场是低效的。我们还对移动窗口中的短时间序列进行了同样的分析，发现只有当一些动荡事件发生时，市场才是无效的，如1985年的油价暴跌、海湾战争和2008年的油价暴跌。本文的分析可以对原油期货市场的有效性有一个新的认识，对其他金融市场的有效性研究也有新的启示。
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英文标题：
《Testing the weak-form efficiency of the WTI crude oil futures market》
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作者：
Zhi-Qiang Jiang (ECUST), Wen-Jie Xie (ECUST), and Wei-Xing Zhou
  (ECUST)
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  We perform detrending moving average analysis (DMA) and detrended fluctuation analysis (DFA) of the WTI crude oil futures prices (1983-2012) to investigate its efficiency. We further put forward a strict statistical test in the spirit of bootstrapping to verify the weak-form market efficiency hypothesis by employing the DMA (or DFA) exponent as the statistic. We verify the weak-form efficiency of the crude oil futures market when the whole period is considered. When we break the whole series into three sub-series separated by the outbreaks of the Gulf War and the Iraq War, our statistical tests uncover that only the Gulf War has the impact of reducing the efficiency of the crude oil market. If we split the whole time series into two sub-series based on the signing date of the North American Free Trade Agreement, we find that the market is inefficient in the sub-periods during which the Gulf War broke out. We also perform the same analysis on short time series in moving windows and find that the market is inefficient only when some turbulent events occur, such as the oil price crash in 1985, the Gulf war, and the oil price crash in 2008. Our analysis may offer a new understanding of the efficiency of the crude oil futures market and shed new lights on the investigation of the efficiency in other financial markets.
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PDF链接：
https://arxiv.org/pdf/1211.4686