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The Role of Heterogeneous Agents in Fuel Markets: Testing Tales of Speculators in Oil Markets

Author

Listed:
  • Andreas Fritz
  • Michael Stein
  • Christoph Weber

    (Chair for Management Sciences and Energy Economics, University of Duisburg-Essen)

Abstract

This study investigates the role of heterogeneous agents in oil markets and tests tales of speculators in oil price formation. Results obtained from using a non-linear heterogeneous agent model suggest that oil market prices are driven by different groups of speculators, namely fundamentalists, chartists and the newly introduced contrarians. The latter enable us to disentangle stabilizing effects previously attributed solely to fundamentalists, and they are on average the most dominating group, whereas chartists exacerbate the huge price swings in 1990, 2008 and 2011. We also show how sensitive the model outcomes are to the specification of the fundamental value, what has strong economic implications.

Suggested Citation

  • Andreas Fritz & Michael Stein & Christoph Weber, 2015. "The Role of Heterogeneous Agents in Fuel Markets: Testing Tales of Speculators in Oil Markets," EWL Working Papers 1505, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Aug 2015.
    • Handle: RePEc:dui:wpaper:1505
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    References listed on IDEAS

    as
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    Keywords

    Energy;

    JEL classification:

    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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