A Production-based Model for Predicting Heating Oil Prices
نویسندگان
چکیده
We attempt to determine the impact of production decisions on the price of heating oil. A model for the production of distillate fuel oil is proposed. Its solution, obtained using stochastic dynamic programming, closely matches history. By perturbing the problem in a deliberate manner, we can determine the value of additional units of inventory by examining diierences in costs. Using these diierences, we deene a production futures price for extra units of distillate fuel oil. We then use linear regression to determine if these production futures prices have an impact on actual heating oil futures prices.
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