CRUDE OIL PRICES BRENT: SEARCHING FOR AN EFFICIENT MARKET
Keywords:
efficient market, martingale, oil price, Brent, autoregression model, structural changesAbstract
The article discusses auto regression models to analyze Brent crude oil price fluctuations. The purpose of the study was to test the hypothesis of an efficient exchange market to trade in oil. In the studies, econometric methods were applied to analyze time series. In the presence of a speculative component, the fundamental indicators of aggregate demand and supply in the oil market have the main influence on pricing, which was the main prerequisite for the research study. The findings showed that an efficient market model works out on the price of Brent crude in the quarterly term run. That is, first-order auto regression models can be used in the long-term price prediction. In the case of short-term Brent crude oil price forecasting, the effective market model is not applicable.
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