The Role of Heterogeneous Agents: Speculators in Oil Markets

EWL Working Paper No. 05/2015

29 Pages Posted: 19 Aug 2015 Last revised: 19 Aug 2016

Andreas Fritz

Lehrstuhl für Energiewirtschaft

Michael Stein

University of Duisburg-Essen

Christoph Weber

University of Duisburg-Essen

Date Written: October 1, 2015

Abstract

This study investigates the role of heterogeneous agents in oil markets and tests tales of speculators in oil price formation. Results obtained from using a non-linear heterogeneous agent model suggest that oil market prices are driven by different groups of speculators, namely fundamentalists, chartists and the newly introduced contrarians. The latter enable us to disentangle stabilizing effects previously attributed solely to fundamentalists, and they are on average the most dominating group, whereas chartists exacerbate the huge price swings in 1990, 2008 and 2011. We also show how sensitive the model outcomes are to the specification of the fundamental value, what has strong economic implications.

Keywords: Energy

JEL Classification: Q40

Suggested Citation

Fritz, Andreas and Stein, Michael and Weber, Christoph, The Role of Heterogeneous Agents: Speculators in Oil Markets (October 1, 2015). EWL Working Paper No. 05/2015. Available at SSRN: https://ssrn.com/abstract=2646691 or http://dx.doi.org/10.2139/ssrn.2646691

Andreas Fritz (Contact Author)

Lehrstuhl für Energiewirtschaft ( email )

Universitätsstraße 12
Essen, 45117
Germany

Michael Stein

University of Duisburg-Essen ( email )

Universitätsst. 12
Duisburg, 45117
Germany

HOME PAGE: http://www.fmoek.wiwi.uni-due.de/

Christoph Weber

University of Duisburg-Essen ( email )

Universitätsstraße 2
Essen, 45141
Germany

HOME PAGE: http://www.ewl.wiwi.uni-due.de

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