Research of objective market price factors in the formation of prices on the oil market
ČlánekOtevřený přístuppeer-reviewedpublishedDatum publikování
2018
Vedoucí práce
Oponent
Název časopisu
Název svazku
Vydavatel
Univerzita Pardubice
Abstrakt
“Brent” oil prices (BOP) serves as a global standard for commodity market
and it strongly influences the world economy. Forecasting BOP presents a significant
and at the same time an arduous task. The main question related to “Brent” prices
forecasting is the correct determination of the cause-effect relations. In order to
conduct the causality analysis, we have employed adaptive-neuro fuzzy interface
system based on the if-then rules and a great potential for the determination of causeeffect
relations. The modeling has shown unobvious results. Despite the fundamental
law, which claims that the balance of supply and demand forms the oil price, we have
proved that the fundamental dependencies are not valid for “Brent” oil pricing. We
have revealed that precious metals prices (Palladium, Gold, Silver and Platinum) and
commodity currencies exchange rates (USD/NOK, USD/AUD, USD/CAD and
USD/ZAR) serve as a signal or cause for the “Brent” price changes. Additionally, we
have examined the efficiency of the forecasting model in terms of forecasting oil price
trends, achieving maximum 62% of accuracy on the daily data.
Rozsah stran
p. 50 - 61
ISSN
1211-555X (Print)
1804-8048 (Online)
1804-8048 (Online)
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Projekt
Zdrojový dokument
Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 43/2018
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open access
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Klíčová slova
ANN, ANFIS, “brent” oil prices, causality analysis, fuzzy logic, forecasting