Brent Crude

About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.

A Novel Hybrid Approach with A Decomposition Method and The RVFL Model for Crude Oil Price Prediction

Abstract: Volatility of international crude oil prices is influenced by various external factors on different time scales. User search data (USD) which reflects investor attentions has been widely researched and proved to be associated with crude oil price change at different frequency bands. In this paper, a novel hybrid approach that utilizes bivariate empirical mode decomposition (BEMD) with user search data and machine learning is developed for crude oil price forecasting. First, BEMD is adopted to simultaneously decomposed the crude oil price data and USD into a finite set of components. Second, each component is modelled and predicted by random vector functional link (RVFL) network and the corresponding final results are obtained via an ensemble model. Third, Brent crude oil spot price is used to test the proposed approach empirically. Forecasting results are analyzed with various evaluation criteria and verified robustness. Results show that the proposed approach statistically outperforms traditional forecasting machine learning techniques and similar counterparts (with USD or EMD-based method) in terms of prediction accuracy.

The Empirical Study on Stylized Facts in Brent Crude Oil Price System

Abstract: In this paper, based on the time series of Brent crude oil prices (daily spot), by introducing some functions to explore empirically the price dynamics and behaviors in crude oil prices, we investigate the information in price system and analyze the price behaviors especially the system memory mechanism of historical information, thus we discuss the long- term memory mechanism existed and analyze numerically the non-periodic cycles in the system; furthermore, we find nontrivial fractal features and multi-affine spectra in Brent price system; finally, we calculate the two-time autocorrelation functions and get exponential decay for small values. All numerical results support that there exist stylized facts in Brent crude oil price system.

Price and Volatility Prediction in the EU ETS Market

Abstract: In this thesis we examine return and volatility predictability of continuous futures contracts within the European Union Emissions Trading System (EU ETS). The market has been active for nine years and we examine whether it is more mature now compared to a few years ago when most existing research was carried out. We find that autoregressive terms are now significantly weaker compared to during the first phase of the ETS, which is seen as a sign that the market has become more efficient. As heteroskedasticity is observed, GARCH models are used to model and predict volatility. To predict returns, we find that using exogenous inputs, in the form of electricity, coal, Brent oil and gas prices, yield better results than using autoregressive terms of the emission allowance data. Based on the results, we suggest that exogenous variables may be used to predict the returns of carbon futures.

Why are Gasoline and Diesel Prices So High? (Relative to Crude Oil Prices)

Abstract: Gasoline prices at the pump in the U.S. closely tracked the stunning collapse of crude oil prices in the second half of 2014. However, this was not the case during 2015. As documented in this recent farmdoc daily article (August 28, 2015), the historical relationship between Brent crude oil prices and U.S. average gasoline prices at the pump suggested that gasoline prices in August should have been about $2.00 per gallon, but were stuck above $2.60 per gallon. A similar result was found for diesel prices in this companion farmdoc daily article (September 30, 2015). It was argued in both articles that the gap between predicted and actual gasoline or diesel prices could be traced to the improving U.S. economy and sharply lower crude oil prices, which, in combination, spurred gasoline and diesel quantity demanded and pushed the production capacity of the U.S. refining industry to the limit. The purpose of today’s article is to provide a more detailed explanation why gasoline and diesel prices in 2015 have been elevated relative to crude oil prices.

Investigation of the Relations between Crude Oil Prices and Real Effective Exchange Rate (REER) in Iran using Phase-Angle Analysis

Abstract: This paper discusses two topics. At first, it uses continuous wavelet (Morlet) transform, coherency, and phase angle analysis to study the effect of mean volatility in OPEC Crude Oil prices, WTI crude oil prices, Brent Crude oil prices and Iran’s crude oil prices on The Iran’s REER. To this end, the monthly data of the variables for years 2003 to 2012 is used. Coherency analysis revealed areas where there are behavioral similarities between the two time series (The Oils Prices and The Iran’s REER). These areas are displayed in spectral graphs. The results demonstrate that there is high coherency between the two variables (The Oils Prices and The Iran’s REER). Then, to have a better understanding of type and depth of the relations between The Iran’s Oil prices and The Iran’s REER, cross wavelet transform and phase difference analysis are used. The final result demonstrates that if the government does not take countercyclical policies, The Iran’s crude oil price variable has the potential to affect Iran’s REER variable and be the lead operator.