Μοντελοποίηση της δυναμικής της καμπύλης πετρελαϊκών ΣΜΕ

Abstract

In this study, first we examine the dynamics of the term structure of energy commodity futures. Next, apply our findings to forecasting subsequent futures prices. Our raw data consist of crude oil futures traded on the New York Mercantile Exchange (NYMEX) and the International Petroleum Exchange (IPE), and heating oil and gasoline futures traded on NYMEX. We use principal components analysis (PCA) to come up with a reduced number of latent factors that can adequately model their term structure. We then use these factors to forecast the subsequent evolution of futures prices for the commodities under examination. This study is organized as follows: Chapter 1 provides a literature review and outlines the contributions of our study. Chapter 2 contains an overview of energy markets and the dataset we will be using. Chapter 3 describes the theory behind principal components analysis and discusses our results from PCA. Chapter 4 examines the forecasting power of principal components across commodities using multiple regression analysis. Chapter 5 concludes.