EconStor >
Fondazione Eni Enrico Mattei (FEEM), Mailand >
FEEM Working Papers, Fondazione Eni Enrico Mattei  >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/53184
  
Title:A trend deduction model of fluctuating oil prices PDF Logo
Authors:Xu, Haiyan
Zhang, ZhongXiang
Issue Date:2011
Series/Report no.:Nota di lavoro // Fondazione Eni Enrico Mattei: Sustainable development 22.2011
Abstract:Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle- and long-terms and predict their price levels in the short-term. Following a price-state classification and state transition analysis of changing oil prices from January 2004 to April 2010, this paper first verifies that the observed crude oil price series during the soaring period follow a Markov Chain. Next, the paper deduces the changing trends of oil prices by the limit probability of a Markov Chain. We then undertake a probability distribution analysis and find that the oil price series have a log-normality distribution. On this basis, we integrate the two models to deduce the changing trends of oil prices from the short-term to the middle- and long-terms, thus making our deduction academically sound. Our results match the actual changing trends of oil prices, and show the possibility of re-emerging soaring oil prices.
Subjects:Oil Price
Log-normality Distribution
Limit Probability of a Markov Chain
Trend Deduction Model
OPEC
JEL:Q41
Q47
C12
C49
F01
O13
Document Type:Working Paper
Appears in Collections:FEEM Working Papers, Fondazione Eni Enrico Mattei

Files in This Item:
File Description SizeFormat
65437046X.pdf314.91 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/53184

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.