Xu, Haiyan and Zhang, ZhongXiang (2010): A trend deduction model of fluctuating oil prices.

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Abstract
Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle and longterms and predict their price levels in the shortterm. Following a pricestate classification and state transition analysis of changing oil prices from January 2004 to August 2009, this paper first verifies that the observed crude oil price series during the soaring period follow a Markov Chain. Next, the paper deduces the changing trends of oil prices by the limit probability of a Markov Chain. We then undertake a probability distribution analysis and find that the oil price series have a lognormality distribution. On this basis, we integrate the two models to deduce the changing trends of oil prices from the shortterm to the middle and longterms, thus making our deduction academically sound. Our results match the actual changing trends of oil prices, and show the possibility of reemerging soaring oil prices.
Item Type:  MPRA Paper 

Original Title:  A trend deduction model of fluctuating oil prices 
Language:  English 
Keywords:  Oil price; Lognormality distribution; Limit probability of a Markov Chain; Trend deduction model; OPEC 
Subjects:  Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q41  Demand and Supply ; Prices C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General F  International Economics > F0  General > F01  Global Outlook Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q47  Energy Forecasting O  Economic Development, Innovation, Technological Change, and Growth > O1  Economic Development > O13  Agriculture ; Natural Resources ; Energy ; Environment ; Other Primary Products C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C49  Other 
Item ID:  26947 
Depositing User:  ZhongXiang Zhang 
Date Deposited:  24. Nov 2010 13:35 
Last Modified:  11. Aug 2015 01:56 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/26947 