کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6896475 1445996 2015 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics
ترجمه فارسی عنوان
باورهای ناهمگن، پشیمانی و عدم اطمینان: نقش پیشگویی در پویایی قیمت انرژی
کلمات کلیدی
قیمت های انرژی به جلو، سرمایه گذاری، عوامل ناهمگن، بی توجهی ناامید کننده، پشیمان بودن،
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی
This paper proposes to investigate the impact of financialization on energy markets (oil, gas, coal, and electricity European forward prices) during both normal times and periods of extreme fluctuation by using an original behavioral and emotional approach. With this aim, we propose a new theoretical and empirical framework based on a heterogeneous agents model in which fundamentalists and chartists co-exist and are subject to regret and uncertainty. We find significant evidence that energy markets are composed of heterogeneous traders who behave differently depending on the intensity of the price fluctuations and the uncertainty context. In particular, energy prices are governed primarily by fundamental and chartist agents that are neutral to uncertainty during normal times, whereas these prices face irrational chartist investors averse to uncertainty during periods of extreme fluctuations. In this context, the recent surge in energy prices can be viewed as the consequence of irrational exuberance. Our new theoretical model is suitable for modeling energy price dynamics and outperforms both the random walk and the ARMA model in out-of-sample predictive ability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 247, Issue 1, 16 November 2015, Pages 204-215
نویسندگان
,