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Analysis of the oil futures market

Author

Listed:
  • Karim Faid

    (IFPEN - IFP Energies nouvelles)

Abstract

The aim of this work was to gain some insight into the American crude oil futures market using the means of multivariate data analysis. Using these techniques, the first step was to find out if there is some identifiable behavior of the crude oil price and to which fondamental market factors such behavior is most related. Two models are developed, a descriptive mode! to explain the time behavior of the crude oil futures price, and a forecasting model to predict the price changes whithout calling on the speculative factors but using solely the fundamental physical factors of the market.

Suggested Citation

  • Karim Faid, 1992. "Analysis of the oil futures market," Working Papers hal-02434392, HAL.
    • Handle: RePEc:hal:wpaper:hal-02434392
    Note: View the original document on HAL open archive server: https://ifp.hal.science/hal-02434392
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    Citations

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    Cited by:

    1. Nathalie Alba-Saunal, 1993. "Environnement et élasticités de substitution dans l'industrie : méthodes et interrogations pour l'avenir," Working Papers hal-02434403, HAL.
    2. Axel Pierru & Denis Babusiaux, 2000. "Coût du capital et étude de rentabilité d'investissement : une formulation unique de l'ensemble des méthodes," Working Papers hal-02437423, HAL.
    3. Anthony Paris, 2016. "The Effect of Biofuels on the Link between Oil and Agricultural Commodity Prices: A Smooth Transition Cointegration Approach," EconomiX Working Papers 2016-5, University of Paris Nanterre, EconomiX.
    4. Axel Pierru & Denis Babusiaux, 2004. "Évaluation de projets d'investissement par une firme multinationale : généralisation du concept de coût moyen pondéré du capital et conséquences sur la valeur de la firme," Working Papers hal-02468351, HAL.
    5. Denis Babusiaux, 1999. "Mondialisation et formes de concurrence sur les grands marchés de matières premières énergétiques : Le pétrole," Working Papers hal-02437359, HAL.
    6. Axel Pierru, 2002. "Extension d'un théorème de dualité en programmation linéaire Application à la décomposition de coûts marginaux de long terme," Working Papers hal-02460879, HAL.
    7. Denis Babusiaux, 2000. "Éléments pour l'analyse des évolutions des prix du brut," Working Papers hal-02460816, HAL.
    8. Albert Banal-Estañol & Jeremy Eckhause & Olivier Massol, 2015. "Incentives for early adoption of carbon capture technology: further considerations from a European perspective," Working Papers hal-02475485, HAL.
    9. Muriel Cadren, 1994. "Analyse économétrique de l'intégration européenne des produits pétroliers : le marché du diesel en Allemagne et en France," Working Papers hal-02434437, HAL.
    10. Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe, 2015. "On the link between oil price and exchange rate : A time-varying VAR parameter approach," Working Papers hal-03206684, HAL.
    11. Axel Pierru & Alessandro Mauro, 1999. "Actions et obligations : des options qui s'ignorent," Working Papers hal-02437338, HAL.
    12. Toni Cavatorta & Maxime Schenckery, 2003. "Les majors pétroliers vers le multi-énergies : mythe ou réalité ?," Working Papers hal-02468321, HAL.
    13. Sandro Furlan, 1994. "L'apport de la théorie économique à la définition d'externalité," Working Papers hal-02434431, HAL.

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