Simulating and Forecasting OPEC Oil Price Using Stochastic Differential Equations
Authors
Abstract:
The main purpose of this paper is to provide a quantitative analysis to investigate the behavior of the OPEC oil price. Obtaining the best mathematical equation to describe the price and volatility of oil has a great importance. Stochastic differential equations are one of the best models to determine the oil price, because they include the random factor which can apply the effect of different economical and political elements .In order to earn the best model, at first we study the effectiveness of different stochastic differential equations models and then using the daily OPEC oil price in years 2003 to 2016, according to the high oscillation of oil price due to the various economical and political creases, we divide the data to four parts and estimate the unknown parameters of the equations in these time periods using the General Method of Moment. At last, the best model can be defined by attention to the main price chart and numerical simulations.
similar resources
Simulating Stochastic Differential Equations
Let S t be the time t price of a particular stock. We know that if S t ∼ GBM (µ, σ 2), then S t = S 0 e (µ−σ 2 /2)t+σBt (1) where B t is the Brownian motion driving the stock price. An alternative possibility is to use a stochastic differential equation (SDE) to describe the evolution of S t. In this case we would write S t = S 0 + t 0 µS u du + t 0 σS u dB u (2) or in shorthand , dS t = µS t d...
full textSimulating Exchange Rate Volatility in Iran Using Stochastic Differential Equations
The main purpose of this paper is to analyze the exchange rate volatility in Iran in the time period between 2011/11/27 and 2017/02/25 on a daily basis. As a tradable asset and as an important and effective economic variable, exchange rate plays a decisive role in the economy of a country. In a successful economic management, the modeling and prediction of the exchange rate volatility is esse...
full textHistorical and Variance Decomposition for Oil Price, Oil Consumption, OPEC and Non-OPEC Oil Production
Abstract I n this paper, the behavior of the real oil price and OPEC and non-OPEC oil production during 1973-2013 are modelled. Interactions among OPEC, non-OPEC oil production, global oil consumption, and the real price of crude oil are estimated using a Structural VAR model (SVAR). After providing evidence for the structural breaks in oil price in 1996, the results indicate that, ac...
full textSimulating Certain Aspects of Multiphase Flow Using Stochastic Differential Equations
Modifications to a stochastic differential equation (SDE) approach for modeling single and two phase NAPL flow are proposed which are intended to allow SDE modeling of the motion of air bubbles in porous media. Bubble flow and channeling are discussed along with bubble sticking, bubble coalescing, bubble breakup and air sparging.
full textSimulating Constrained Animal Motion Using Stochastic Differential Equations
Differential equations have long been used to describe the motion of particles. Stochastic differential equations (SDE)s have been employed for situations where randomness is included. This present work is motivated in part by seeking to describe the motion of mammals moving in a constrained region. Interesting questions that arise include: how to write down a pertinent (bivariate) SDE, how to ...
full textStochastic differential equations and integrating factor
The aim of this paper is the analytical solutions the family of rst-order nonlinear stochastic differentialequations. We dene an integrating factor for the large class of special nonlinear stochasticdierential equations. With multiply both sides with the integrating factor, we introduce a deterministicdierential equation. The results showed the accuracy of the present work.
full textMy Resources
Journal title
volume 2 issue 7
pages 21- 30
publication date 2016-12-10
By following a journal you will be notified via email when a new issue of this journal is published.
Hosted on Doprax cloud platform doprax.com
copyright © 2015-2023