| The 2006-2008 oil bubble: evidence of speculation, and prediction | |
| Sornette, Didier1,2; Woodard, Ryan1; Zhou, Wei-Xing3,4,5 | |
| 刊名 | Physica a-statistical mechanics and its applications
 |
| 2009-04-15 | |
| 卷号 | 388期号:8页码:1571-1576 |
| 关键词 | Econophysics Commodities Oil bubble Speculation Prediction |
| ISSN号 | 0378-4371 |
| DOI | 10.1016/j.physa.2009.01.011 |
| 通讯作者 | Sornette, didier(dsornette@ethz.ch) |
| 英文摘要 | We present an analysis of oil prices in usd and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. this supports the hypothesis that the recent oil price run-up was amplified by speculative behavior of the type found during a bubble-like expansion. we also attempt to unravel the information hidden in the oil supply-demand data reported by two leading agencies, the us energy information administration (eia) and the international energy agency (iea). we suggest that the found increasing discrepancy between the eia and iea figures provides a measure of the estimation errors. rattler than a clear transition to a supply restricted regime, we interpret the discrepancy between the iea and eia as a signature of uncertainty, and there is no better fuel than uncertainty to promote speculation! our post-crash analysis confirms that the oil peak in july 2008 occurred within the expected 80% confidence interval predicted with data available in our pre-crash analysis. (c) 2009 elsevier b.v. all rights reserved. |
| WOS关键词 | FINANCIAL CRASHES ; LOG-PERIODICITY |
| WOS研究方向 | Physics |
| WOS类目 | Physics, Multidisciplinary |
| 语种 | 英语 |
| 出版者 | ELSEVIER SCIENCE BV |
| WOS记录号 | WOS:000264095500025 |
| 内容类型 | 期刊论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/2399644 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Sornette, Didier |
| 作者单位 | 1.Swiss Fed Inst Technol, Dept Management Technol & Econ, Chair Entrepreneurial Risks, CH-8001 Zurich, Switzerland 2.Univ Geneva, Swiss Finance Inst, CH-1211 Geneva, Switzerland 3.E China Univ Sci & Technol, Sch Business, Sch Sci, Shanghai 200237, Peoples R China 4.E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China 5.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Sornette, Didier,Woodard, Ryan,Zhou, Wei-Xing. The 2006-2008 oil bubble: evidence of speculation, and prediction[J]. Physica a-statistical mechanics and its applications,2009,388(8):1571-1576. |
| APA | Sornette, Didier,Woodard, Ryan,&Zhou, Wei-Xing.(2009).The 2006-2008 oil bubble: evidence of speculation, and prediction.Physica a-statistical mechanics and its applications,388(8),1571-1576. |
| MLA | Sornette, Didier,et al."The 2006-2008 oil bubble: evidence of speculation, and prediction".Physica a-statistical mechanics and its applications 388.8(2009):1571-1576. |
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