Dissecting Two Approaches to Energy Prices | Science Publications

Journal of Mathematics and Statistics

Andrew Snyder-Beattie¹  Julius N. Esunge¹ 

关键词: Markov property;    commodity market;    Ornstein-Uhlenbeck (OU);    energy prices;    quota periods;    stochastic processes;   

DOI  :  10.3844/jmssp.2011.98.102

学科分类：社会科学、人文和艺术（综合）

来源: Science Publications

【 摘 要 】

Problem statement: This research tested the viability of Geometric Brownian Motion as astochastic model of oil prices. Approach: Using autoregressions and unit root tests, we determinedthat oil prices tend not to exhibit the Markov Property and thus GBM may be a problematic model.Results: Instead, oil prices seem to be mean reverting over the long run, possibly following anOrnstein-Uhlenbeck process. Conclusion/Recommendations: To determine whether or not OPECwas the cause of mean reversion, we repeated the tests after controlling for quotas, only to find thesame results did not apply over the short run.

【 授权许可】

Unknown