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• W1969731085 abstract "In this paper, we develop and test a heterogeneous agent model for the oil market. The demand for oil is divided in a speculative component and a real component. Speculators are boundedly rational in forming price expectations. Expectations are formed by one of two boundedly rational rules of thumb: fundamentalist and chartist. While fundamentalists trade on mean-reversion, chartists follow the trend in prices. Speculators then choose between these rules based on past profitability. Estimation results on Brent and WTI oil reveal that both groups are active in the oil market, and that speculators often switch between the groups. The model outperforms both the random walk and VAR models in out-of-sample forecasting." @default.
• W1969731085 created "2016-06-24" @default.
• W1969731085 creator A5028941256 @default.
• W1969731085 creator A5044699715 @default.
• W1969731085 date "2010-11-01" @default.
• W1969731085 modified "2023-09-27" @default.
• W1969731085 title "Oil price dynamics: A behavioral finance approach with heterogeneous agents" @default.
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• W1969731085 doi "https://doi.org/10.1016/j.eneco.2010.03.003" @default.
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