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Cyclical Mackey Glass Model for Oil Bull Seasonal

Author

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  • Sadek MELHEM
  • Michel TERRAZA
  • Mohamed CHIKHI

Abstract

In this article, we propose an innovative way for modelling oil bull seasonals taking into account seasonal speculations in oil markets. Since oil prices behave very seasonally during two periods of the year (summer and winter), we propose a modification of Mackey Glass equation by taking into account the rhythm of seasonal frequencies. Using monthly data for WTI oil prices, Seasonal Cyclical Mackey Glass estimates indicate that seasonal interactions between heterogeneous speculators with different expectations may be responsible for pronounced swings in prices in both periods. Moreover, the seasonal frequency / 3(referring to a period of 6 months) appears to be persistent over time.

Suggested Citation

  • Sadek MELHEM & Michel TERRAZA & Mohamed CHIKHI, 2011. "Cyclical Mackey Glass Model for Oil Bull Seasonal," Working Papers 11-10, LAMETA, Universtiy of Montpellier, revised May 2011.
    • Handle: RePEc:lam:wpaper:11-10
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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2011-10.pdf
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    Keywords

    Oil bull seasonal; Seasonal speculations; Heterogeneous agents model; Seasonal Cyclical Mackey Glass models.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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