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

页码：567 / 584

页数：18

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