Nonlinear joint dynamics between prices of crude oil and refined products

2015 ◽  
Vol 419 ◽  
pp. 444-456 ◽  
Author(s):  
Tao Zhang ◽  
Guofeng Ma ◽  
Guangsheng Liu
Keyword(s):  
Crude Oil ◽  
Joint Dynamics ◽  
Nonlinear Joint

MULTIDIMENSIONAL CALIBRATION OF CRUDE OIL AND REFINED PRODUCTS VIA SEMIDEFINITE PROGRAMMING TECHNIQUES

2019 ◽  
Vol 22 (01) ◽  
pp. 1850056
Author(s):  
CAROLINA EFFIO SALDIVAR ◽  
JOSÉ HERSKOVITS ◽  
JUAN PABLO LUNA ◽  
CLAUDIA SAGASTIZÁBAL
Keyword(s):  
Crude Oil ◽  
Semidefinite Programming ◽  
Interior Point Method ◽  
Positive Semidefinite ◽  
Positive Semidefinite Matrices ◽  
Out Of Sample ◽  
Joint Dynamics ◽  
Programming Techniques ◽  
Space Formulation ◽  
Heating Oil

To describe the joint dynamics of prices of crude oil and refined products we extend two-factor models to a multidimensional setting. The new model captures directly the general correlation structure between the different commodities in the form of certain covariance matrix. Since the associated state-space formulation makes use of such correlations, the feasible set of the resulting estimation problem includes the cone of positive semidefinite matrices. Tractability is ensured by means of an interior point method, specially tailored for nonlinear semidefinite programming problems. For different sets of historical prices of crude oil, heating oil, and gasoline, the empirical out-of-sample forecasts obtained with the approach proposed in this work systematically provide an excellent fit to data.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

Drag Reduction and Velocity Profiles Distribution of Crude Oil Flow in Spiral Pipes

2015 ◽  
Vol 9 (1) ◽  
pp. 1 ◽  
Author(s):  
Yanuar Yanuar ◽  
Kurniawan T. Waskito ◽  
Gunawan Gunawan ◽  
Budiarso Budiarso
Keyword(s):  
Drag Reduction ◽  
Crude Oil ◽  
Velocity Profiles ◽  
Oil Flow
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