scholarly journals Forecasting model for crude oil price with structural break

2017 ◽  
Vol 13 (4-1) ◽  
pp. 421-424
Author(s):  
Norshela Mohd Noh ◽  
Arifah Bahar ◽  
Zaitul Marlizawati Zainuddin
Keyword(s):  
Brownian Motion ◽  
Crude Oil ◽  
Structural Break ◽  
Geometric Brownian Motion ◽  
Oil Price ◽  
Raw Material ◽  
Crude Oil Price ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Material Procurement

Nowadays, in unstable economic environment, oil refining company is facing fluctuating crude oil price that causes unstable profit margin. Fluctuating crude oil price leads to difficulty in forecasting raw material procurement. Inaccurate forecast leads to inefficient decision making in optimizing refining company profit margin. In order to overcome an inaccurate in forecasting raw material procurement, an appropriate study of forecasting model is needed. Thus the objective of this study is to model fluctuating crude oil price based on geometric Brownian motion and mean reverting Ornstein-Uhlenbeck process and also to forecast fluctuating crude oil price with structural break. In modeling crude oil price, the information on whether the structural break exists is very crucial due to the long memory property might be camouflaged by the existence of the structural break. In this study, we employed long memory test to West Texas Intermediate (WTI) daily data from 2nd January 1986 to 31st August 2016 using log periodogram regression of Geweke and Porter-Hudak (1983). Bai and Perron test was applied to find break date. The result indicates that crude oil price is characterized by structural breaks. With the assumption that future price is affected by today’s price, we modeled and forecasted crude oil price using geometric Brownian motion and mean reverting Ornstein-Uhlenbeck process for 14 days, 30 days and 6 months. Results showed that forecasting crude oil price is highly accurate for short term with geometric Brownian motion compared to mean reverting Ornstein-Uhlenbeck process. 

scholarly journals Relationship between International Crude Oil Price and Indian Stock Market (NSE)

2011 ◽  
pp. 63-73
Author(s):  
Rajendra Mahunta
Keyword(s):  
Crude Oil ◽  
Global Economy ◽  
Stock Exchange ◽  
Oil Prices ◽  
Oil Price ◽  
Raw Material ◽  
Crude Oil Price ◽  
New Era ◽  
Crude Oil Prices

In this new era of economic growth, the exceptional increase in the crude oil prices is one of the significant developments that affect the global economy. Crude oil is an important raw material used for manufacturing sectors, so that increase in the price of oil is bound to warn the economy with inflationary inclination. The study examine the long-term relationships between CNX NIFTY FIFTY index of National Stock Exchange and crude price by using various econometric test. The surge in crude oil prices during recent years has generated a lot of interest in the relationship between oil price and equity markets. The study covers the period between 01.01.2010 and 31.12.2014 and was performed with data consisting of 1245 days. The empirical results show there was a cointegrated long-term relationship between CNX index and crude price. Granger causality results reveal that there is unidirectional causality exists and crude oil price causes NSE (CNX) but NSE (CNX) does not cause oil price.

Crude Oil Price and Fuel Ethanol Firm Profit

2015 ◽  
Vol 737 ◽  
pp. 132-135
Author(s):  
Jian Hua Li
Keyword(s):  
Crude Oil ◽  
Environmental Protection ◽  
Fuel Ethanol ◽  
Oil Price ◽  
Raw Material ◽  
Crude Oil Price ◽  
Ethanol Fuel ◽  
Gasoline Price ◽  
The Relationship ◽  
Firm Profit

This paper analyzes the relationship between crude oil price and fuel ethanol firm profit. Corn is the main raw material for fuel ethanol in China. According to our survey of fuel ethanol firms, three tons of corn input can produce one ton of fuel ethanol output technically, so we can estimate cost of fuel ethanol firms. Government of some provinces mandated gasoline with 10% ethanol fuel for environmental protection. Sinopec and PetroChina paid to the fuel ethanol firms in accordance with 0.911 times of gasoline price, so we can estimate earnings. Government can determine the subsidies of fuel ethanol firms based on estimation of their profit.

scholarly journals Impact of Crude Oil Price Changes on Select Indian Industries

2016 ◽  
Vol 3 (2) ◽  
pp. 87-92
Author(s):  
Daksh Seth ◽  
B. Sai Giridhar ◽  
Sundara Krishnaswami
Keyword(s):  
Crude Oil ◽  
Business Environment ◽  
Oil Price ◽  
Raw Material ◽  
Crude Oil Price ◽  
Price Changes ◽  
Material Cost ◽  
The World ◽  
Indian Industries ◽  
The Impact

The study quantifies the impact of crude oil price changes on the production, sales turnover and raw material cost of select industries in India where crude oil is a major direct or indirect raw material. The results show that there exists a relationship between crude oil price changes and production of chemicals, coke, and refined petroleum products, a significant impact is observed on the sales turnover of plastic, oil refinery, and automobiles industries. The raw material cost of fertilizers, food processing, and paints industries show a high correlation with crude oil. Energy is the undercurrent that drives economic activity in the world. Fortunes of countries have changed because of crude oil. Its importance to the global economy is unmatched, proven by the fact that oil is responsible for 2.5% of the world GDP. If provided a conducive business environment, companies around the world would like to tap opportunities a billion plus people in India present. India is heavily dependent on crude oil imports thus volatility in crude oil prices is a cause for concern.Int. J. Soc. Sci. Manage. Vol-3, issue-2: 87-92

scholarly journals PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM

2020 ◽  
Vol 13 (1) ◽  
pp. 60-67
Author(s):  
Amam Taufiq Hidayat ◽  
Subanar Subanar
Keyword(s):  
Brownian Motion ◽  
Stock Price ◽  
Stock Return ◽  
Compound Poisson Process ◽  
Geometric Brownian Motion ◽  
Data Simulation ◽  
Uhlenbeck Process ◽  
Stock Return Volatility ◽  
Ornstein Uhlenbeck Process ◽  
Brown Motion

Geometric Brownian motion is one of the most widely used stock price model. One of the assumptions that is filled with stock return volatility is constant. Gamma Ornstein-Uhlenbeck process a model to describe volatility in finance. Additionally, Gamma Ornstein-Uhlenbeck process driven by Background Driving Levy Process (BDLP) compound Poisson process and the marginal law of volatility follows a Gamma distribution. Barndorff-Nielsen and Shepard (BNS) Gamma Ornstein-Uhlenbeck model can to sample the process for the stock price with volatility follows Gamma Ornstein-Uhlenbeck process. Based on these, the simulation result are compared BNS Gamma Ornstein-Uhlenbeck model with geometric Brown motion for Standard and Poor (SP) 500 stock data. Simulation result give BNS Gamma Ornstein-Uhlenbeck model and Geometric Brownian motion a Root Mean Square Error (RMSE) are 0,13 and 0,24 respectively. These result indicate that the BNS Gamma  Ornstein-Uhlenbeck model gives a more accurate  than Geometric Brownian motion

Impact of crude oil price on the socio-political environment of global countries

2019 ◽  
Vol 118 (3) ◽  
pp. 110-122
Author(s):  
Johnson Clement Madathil ◽  
Velmurugan P. S
Keyword(s):  
Crude Oil ◽  
Descriptive Analysis ◽  
Oil Price ◽  
Policy Framework ◽  
Political Environment ◽  
Policy Reforms ◽  
Crude Oil Price ◽  
Short Term ◽  
Political Impact ◽  
New Energy

Crude oil is known to have an impact on people’s life of both producers and consumers of crude oil countries. A producer country’s socio-political impact will be different from a consumer country’s socio-political impact. This paper aims to show that crude oil price has a socio-political impact on global countries through descriptive analysis. The study found that there were similarities in the movement of crude oil price and change in GDP of both India and United States and further Russia and Venezuela have had crude oil impact on their respective GDP’s, which has made them take policy reforms. The paper identifies changes in the policy framework due to influence of crude oil price and eventual changes in existing socio-political environment. Taking oil producing countries such as Russia and Venezuela as examples, this paper suggests that policy reforms are the key to having a stable socio-political environment. Russia shows us that having a flexible monetary policy can keep the budget dependence on crude oil reduced in the short term. On the other hand, for oil consuming countries, having a stable supply and moving to new energy sources is the key to tackle the influence of crude oil price on the socio-political environment of global countries.

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