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Cyclical Mackey Glass Model for Oil Bull Seasonal

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  • Sadek MELHEM
  • Michel TERRAZA
  • Mohamed CHIKHI
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    Abstract

    In this article, we propose an innovative way for modelling oil bull seasonals taking into account seasonal speculations in oil markets. Since oil prices behave very seasonally during two periods of the year (summer and winter), we propose a modification of Mackey Glass equation by taking into account the rhythm of seasonal frequencies. Using monthly data for WTI oil prices, Seasonal Cyclical Mackey Glass estimates indicate that seasonal interactions between heterogeneous speculators with different expectations may be responsible for pronounced swings in prices in both periods. Moreover, the seasonal frequency  / 3(referring to a period of 6 months) appears to be persistent over time.

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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2011-10.pdf
    File Function: First version, 2011
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    Bibliographic Info

    Paper provided by LAMETA, Universtiy of Montpellier in its series Working Papers with number 11-10.

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    Length: 15 pages
    Date of creation: May 2011
    Date of revision: May 2011
    Handle: RePEc:lam:wpaper:11-10

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    Related research

    Keywords: Oil bull seasonal; Seasonal speculations; Heterogeneous agents model; Seasonal Cyclical Mackey Glass models.;

    This paper has been announced in the following NEP Reports:

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