Cyclical Mackey Glass Model for Oil Bull Seasonal

Sadek Melhem, Michel Terraza and Mohamed Chikhi

Working Papers from LAMETA, Universtiy of Montpellier

Abstract: In this article, we propose an innovative way for modelling oil bull seasonals taking into account seasonal speculations in oil markets. Since oil prices behave very seasonally during two periods of the year (summer and winter), we propose a modification of Mackey Glass equation by taking into account the rhythm of seasonal frequencies. Using monthly data for WTI oil prices, Seasonal Cyclical Mackey Glass estimates indicate that seasonal interactions between heterogeneous speculators with different expectations may be responsible for pronounced swings in prices in both periods. Moreover, the seasonal frequency / 3(referring to a period of 6 months) appears to be persistent over time.

Keywords: Oil bull seasonal; Seasonal speculations; Heterogeneous agents model; Seasonal Cyclical Mackey Glass models. (search for similar items in EconPapers)
Pages: 15 pages
Date: 2011-05, Revised 2011-05
New Economics Papers: this item is included in nep-gth
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http://www.lameta.univ-montp1.fr/Documents/DR2011-10.pdf First version, 2011 (application/pdf)
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Related works:
Working Paper: Cyclical Mackey Glass Model for Oil Bull Seasonal (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:lam:wpaper:11-10

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