Abstract

http://ssrn.com/abstract=1821724
 
 

References (26)



 


 



A Trend Deduction Model of Fluctuating Oil Prices


Haiyan Xu


Fudan University - Institute of International Studies; Fudan University - Center for Energy Economics and Strategy Studies

ZhongXiang Zhang


Fudan University - School of Economics

April 24, 2011

USAEE-IAEE Working Paper No. 11-077

Abstract:     
Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle- and long-terms and predict their price levels in the short-term. Following a price-state classification and state transition analysis of changing oil prices from January 2004 to April 2010, this paper first verifies that the observed crude oil price series during the soaring period follow a Markov Chain. Next, the paper deduces the changing trends of oil prices by the limit probability of a Markov Chain.

We then undertake a probability distribution analysis and find that the oil price series have a log-normality distribution. On this basis, we integrate the two models to deduce the changing trends of oil prices from the short-term to the middle- and long-terms, thus making our deduction academically sound. Our results match the actual changing trends of oil prices, and show the possibility of re-emerging soaring oil prices.

Number of Pages in PDF File: 22

Keywords: Oil price, Log-normality distribution, Limit probability of a Markov Chain, Trend

JEL Classification: Q41, Q47, C12, C49, F01, O13

working papers series


Download This Paper

Date posted: April 24, 2011 ; Last revised: May 9, 2011

Suggested Citation

Xu, Haiyan and Zhang, ZhongXiang, A Trend Deduction Model of Fluctuating Oil Prices (April 24, 2011). USAEE-IAEE Working Paper No. 11-077. Available at SSRN: http://ssrn.com/abstract=1821724 or http://dx.doi.org/10.2139/ssrn.1821724

Contact Information

Haiyan Xu
Fudan University - Institute of International Studies ( email )
No.220, Handan Road, Shanghai, P.R. China
Shanghai, 200433
China
Fudan University - Center for Energy Economics and Strategy Studies
No.220, Handan Road, Shanghai, P.R. China
Shanghai, 200433
China
ZhongXiang Zhang (Contact Author)
Fudan University - School of Economics ( email )
600 Guoquan Road
Shanghai, 200433
China
+86 21 65642734 (Phone)
+86 21 65647719 (Fax)
HOME PAGE: http://ideas.repec.org/f/pzh243.html
Feedback to SSRN


Paper statistics
Abstract Views: 297
Downloads: 26
References:  26

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.219 seconds