Paper Information

Journal:   ENERGY ECONOMICS REVIEW   FALL 2010 , Volume 7 , Number 26; Page(s) 177 To 199.
 
Paper: 

UNCERTAINTY IN OIL FUTURES MARKET AND ITS IMPACT ON PRICE PREDICTION AND REVENUE VOLATILITIES (WITH PRESENTING A CONVENIENT MODEL TO PREDICT THE PRICES AND OIL REVENUES)

 
 
Author(s):  VAFI D., ERFANIFARD A.
 
* 
 
Abstract: 

This paper surveys oil futures markets and identifies relevant risks in order to propose a model that establishes an acceptable relationship between future and spot prices. Based on this mechanism the paper then proposes a framework for predicting oil prices and resultant revenues from oil sales and purchases. The framework is then used to predict prices expected revenues from oil transactions using data mining and modeling based on an adaptive expectations model and technical analysis rules. Results of three different scenarios are then compared: 1-when inputs are the outputs of adaptive expectations model 2- when inputs are derived from technical analysis rules and 3- combination of these two approaches. The results demonstrate that the combined model besides reducing uncertainty increases the predictive power of the model by respectively 70% and 10% compared to scenarios 1 and 2 respectively. In addition, applying the adaptive expectations together with technical analysis results in more precise predictions.

 
Keyword(s): OIL EXCHANGE, PRICE RISK, NEURAL NETWORK, OIL FUTURES PRICE, FUTURES MARKET, ADAPTIVE EXPECTATIONS
 
References: 
  • ندارد
 
  Persian Abstract Yearly Visit 25
 
Latest on Blog
Enter SID Blog