A multi-model approach for describing crude oil price dynamics

被引：27
作者：
Bernabe, A
Martina, E
Alvarez-Ramirez, J
Ibarra-Valdez, C
机构：
[1] Univ Autonoma Metropolitana Iztapalapa, Div Ciencias Basicas & Ingn, Mexico City 09340, DF, Mexico
[2] Inst Mexicano Petr, Programa Investigac Matemat Aplicadas & Computac, Mexico City 07730, DF, Mexico
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2004年 / 338卷 / 3-4期
关键词：
crude oil prices; backward-bending supply; multiple competitive equilibria; mean-reverting;
D O I：
10.1016/j.physa.2004.03.007
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
This paper develops a stochastic multi-model approach to describe the dynamics of crude oil prices. Based on the hypothesis that crude oil price dynamics reflects the activity of a competitive market with multiple equilibria, a mean-reversion multi-model incorporating two competitive processes with corresponding drifts and volatilities is investigated. Regimen-switching between the two standard stochastic processes is modeled as a simple process that describes extreme (e.g., social, political, etc.) events occurring scarcely but influencing on the market evolution. (C) 2004 Published by Elsevier B.V.
引用
收藏
页码：567 / 584
页数：18
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