We investigate short-term futures oil pricing over the 2003–2019 time-period in order to analyze the bubble-like dynamics, which characterizes the 2007–2009 years according to a large body of recent literature. Our research, based on the LPPL methodology and a flexible three-agent model (hedgers, fundamentalist speculators and chartists), confirms the presence of a bubble price pattern, which we attribute to the strong destabilizing behavior of speculators. In our view, this can be related to incorrect interpretation of market signals (or to the inability of trading against the market), especially by fundamentalists, combined with imitation across different categories of agents. This sets off positive feedback reactions along with self-reinforced herding of the kind best detected by the LPPL methodology.

Paesani, P., Cifarelli, G. (2021). Navigating the oil bubble: a non-linear heterogeneous-agent dynamic model of futures oil pricing. THE ENERGY JOURNAL, Volume 42(5), 101-122 [10.5547/01956574.42.5.gcif].

Navigating the oil bubble: a non-linear heterogeneous-agent dynamic model of futures oil pricing

Paesani P.;
2021-01-01

Abstract

We investigate short-term futures oil pricing over the 2003–2019 time-period in order to analyze the bubble-like dynamics, which characterizes the 2007–2009 years according to a large body of recent literature. Our research, based on the LPPL methodology and a flexible three-agent model (hedgers, fundamentalist speculators and chartists), confirms the presence of a bubble price pattern, which we attribute to the strong destabilizing behavior of speculators. In our view, this can be related to incorrect interpretation of market signals (or to the inability of trading against the market), especially by fundamentalists, combined with imitation across different categories of agents. This sets off positive feedback reactions along with self-reinforced herding of the kind best detected by the LPPL methodology.
2021
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore SECS-P/01 - ECONOMIA POLITICA
English
Oil pricing, Bubble, Speculation, Dynamic hedging, Logistic smooth transition, Multivariate GARCH
http://www.iaee.org/energyjournal/article/3730
Paesani, P., Cifarelli, G. (2021). Navigating the oil bubble: a non-linear heterogeneous-agent dynamic model of futures oil pricing. THE ENERGY JOURNAL, Volume 42(5), 101-122 [10.5547/01956574.42.5.gcif].
Paesani, P; Cifarelli, G
Articolo su rivista
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/275547
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact