Research on financial stochastic dynamic model of energy market based on MCMC simulation

Guoqi Bi

International Journal of Global Energy Issues, 2021, vol. 43, issue 5/6, 721-737

Abstract: In order to overcome the problem of stochastic dynamic parameters of financial model, a stochastic dynamic model of energy market finance based on MCMC simulation is proposed. In this model, a series of sample values are obtained by Gibbs sampler of MCMC simulation method, and the point estimates of dynamic model are obtained by posterior sample mean. The price data of oilfut and propane futures in the financial market of New York Mercantile Exchange from 1 January 2015 to 31 December 2018 are selected to obtain the financial fluctuation through the WinBUGS simulation software. The experimental results show that the time series of oilfut and propane futures have the characteristics of peak and tail, and the characteristics of peak and tail of oilfut are more obvious; the market returns of oilfut and propane futures do not obey the normal distribution; emergencies will cause fluctuations in the energy market.

Keywords: MCMC simulation; energy market; finance; stochastic; dynamic; model. (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijgeni:v:43:y:2021:i:5/6:p:721-737

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