Analyzing and Forecasting Crude Oil Price Based on Stochastic Process Model

被引：0
|
作者：
Hu, Jiancheng [1 ]
机构：
[1] Chengdu Univ Informat Technol, Coll Appl Math, Chengdu 610064, Peoples R China
来源：
PROCEEDINGS OF THE NINTH INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT | 2015年 / 362卷
关键词：
Stochastic process; Crude oil price; MLE; Euler-maruyama method; FUTURES PRICES; COMMODITY FUTURES; CONVENIENCE YIELD; INTEREST-RATES; OPTIONS; GAS;
D O I：
10.1007/978-3-662-47241-5_16
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
The dynamic behavior of crude oil prices has become a hot issue in recent years because the increased oil prices worldwide are having a great impact on all economic activities. This paper aims to select the continuous-time stochastic model to describe and forecast the world crude oil price. The Maximum Likelihood Estimation method is implemented to fit the parameters of continuous-time stochastic processes. The result of unit root test shows that time series of the crude oil price is a stationary series. And the simulation of continuous-time stochastic processes and the mean error between the simulated prices and the market ones shows that the Geometric Brownian Motion is a very effective model for the world crude oil price.
引用
收藏
页码：201 / 207
页数：7
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