Loading...

The study of different factors’ effects on the oil futures price by applying agent-based model

Karimi, M.S ; Sharif University of Technology | 2018

250 Viewed
  1. Type of Document: Article
  2. Publisher: Econjournals , 2018
  3. Abstract:
  4. An agent-based model is employed for simulating the price of oil futures. The model proceeds as follows: On each time step agents choose their rule for price expectation formation. Next, they bid and ask based on their price and trend expectations. The new price is formed using “the market mechanism”. Finally, the time steps forward and the process is repeated in the next day. The agents use 6 different rules to make price and trend expectations. Brent future prices in a 2-year-period (2010-2011) and in 2012 are used for model calibration and validation, respectively. It was shown that market participants weigh U.S. stocks data more than other factors, while OECD stock’s data were not that important for the market. It was also inferred that the market does not weigh the technical aspects of the oil price as much as the fundamental aspects. © 2018, Econjournals. All rights reserved
  5. Keywords:
  6. Agent-based Model ; Oil price ; Technical/fundamental rule
  7. Source: International Journal of Energy Economics and Policy ; Volume 8, Issue 3 , 2018 , Pages 76-81 ; 21464553 (ISSN)
  8. URL: https://www.econjournals.com/index.php/ijeep/article/view/6465