Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing

We analyze short-term futures oil pricing over the 2003-2016 time-period in order to bubble-like dynamics, which characterizes 2007-2009 years according a large body of recent literature. Our investigation, based on flexible three-agent model (hedgers, fundamentalist speculators and chartists), confirms presence bubble price pattern, we attribute strong destabilizing behaviour (e.g. hedge funds). The inclusion 2009-2016 sub-period, spite sharp unexpected fluctuations prices significant increase influence geopolitical factors, fails invalidate our financial interpretation.