- Title
- Analysis of the relation between crude oil futures prices and spot price using nonlinear artificial neural networks
- Creator
- Haidar, Imad; Pan, Heping; Kulkarni, Siddhivinayak
- Date
- 2008
- Type
- Text; Conference paper
- Identifier
- http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/38973
- Identifier
- vital:3722
- Identifier
- ISBN:9780959180640
- Abstract
- As the oil demand continues to surge ahead and production continues to decline, it is believed that oil prices will continue to rise to unprecedented levels. As a reference, in 2004, the crude oil price was averaging $41 per barrel while it is above $130 in today’s market. This oil price increase is affecting the economy from both developing and developed countries. This paper investigates the possibility of using oil futures price to forecast spot price direction for short term, one day ahead using multilayer feedforward neural networks. The data was pre-processed to reflect the direction and the turning point of the price. Our approach is to create a benchmark based on lagged value of pre-processed spot price, then add pre-processed futures prices 1, 2, 3 and 4 months for maturity one by one and also altogether. For all the experiments, that include futures data as an input, the results show that on the short term, one day ahead, there is weak evidence to support futures price do hold new information on the spot price direction. This evidence is stronger for futures 1, 2 months to maturity.
- Publisher
- Gold Coast, Queensland : Economic Society of Australia
- Relation
- Paper presented at 37th Annual Conference of Economists, Gold Coast, Queensland : 30th September - 4th October 2008
- Rights
- Open Access
- Rights
- Copyright Economic Society of Australia
- Rights
- This metadata is freely available under a CCO license
- Subject
- Crude oil; Futures price; Nonlinear prediction models; ANN
- Full Text
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