The Long-Term Dynamics in Crude Oil Prices

Bao Ming Qiao; Si Zhang; Hao Jin

doi:10.4028/www.scientific.net/AMM.260-261.846

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 260-261The Long-Term Dynamics in Crude Oil Prices

The Long-Term Dynamics in Crude Oil Prices

Abstract:

This paper reviews a long-term crude oil markets and trend of dynamic prices during 1986-2011. Based on the hypothesis that crude oil prices dynamics reflect the activity of a competitive market, a jump diffusion model is investigated to examine the empirical performance in a time series. Historical data analysis shows that crude oil prices were characterized by high volatility, high intensity jumps, and strong upward drift, and were concomitant with underlying fundamentals of crude oil markets and world economy. Furthermore, the model forecast that crude oil prices will still have an increasing trend, stay in jump for the next couple of years.

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Periodical:

Applied Mechanics and Materials (Volumes 260-261)

Pages:

846-851

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.260-261.846

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Online since:

December 2012

Authors:

Bao Ming Qiao, Si Zhang, Hao Jin

Keywords:

Crude Oil Prices, Jump-Diffusion, Markov Chain Monte Carlo, Skewness, Volatility

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