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Projecting Oil Prices
Abstract
This model projects oil prices in the presence of “nonrandom” market mechanisms. Historical daily oil prices are listed. The absolute price changes fit a nonnegative distribution, and the best-fitting distribution is the exponential distribution to simulate future absolute price changes. Each of these price changes can be positive or negative, and two rules are used to determine (randomly) the direction of each price change, which are: First if the current price is near prescribed minimum and maximum limits, the direction of the next price change tends to be away from the relevant limit. Second, for prices not too near the limits, there is a tendency to have a positive price change if the average of the most recent 50 days is greater than the average of the most recent 200 days, and there is a tendency to have a negative price change otherwise.
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