A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
This study analyzes global oil trade networks to assess their efficiency and robustness.
One major hurdle in the road toward a low carbon economy is the present entanglement of developed economies with oil. This tight relationship is mirrored in the correlation between most of economic indicators with oil price. This paper addresses the role of oil compared to the other three main energy commodities -coal,…
Investment risk on a regulated market is influenced by gold prices and oil trading.
Our work sheds new light on the role of oil prices in shaping the world economy by investigating flows of goods and services through global value chains between 1960 and 2011, by means of Markov Chain and network analysis. We show that over that time period the international division of labor and trade patterns are tig…
Machine learning models outperform traditional trading strategies in crude oil markets.
The paper analyzes gold, oil, and bitcoin futures volatility and basis.
Study shows how COVID-19 pandemic affected China's crude oil futures market efficiency.
The dissertation investigates the application of Probabilistic Graphical Models (PGMs) in forecasting the price of Crude Oil. This research is important because crude oil plays a very pivotal role in the global economy hence is a very critical macroeconomic indicator of the industrial growth. Given the vast amount of m…
Hidden Markov model predicts profitable statistical arbitrage in Shanghai crude oil futures.
We perform detrending moving average analysis (DMA) and detrended fluctuation analysis (DFA) of the WTI crude oil futures prices (1983-2012) to investigate its efficiency. We further put forward a strict statistical test in the spirit of bootstrapping to verify the weak-form market efficiency hypothesis by employing th…
Statistical and multiscaling characteristics of WTI Crude Oil prices expressed in US dollar in relation to the most traded currencies as well as to gold futures and to the E-mini SP500 futures prices on 5 min intra-day recordings in the period January 2012 - December 2017 are studied. It is shown that in most of th…
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity futures or multiple futures contracts over a finite horizon. By analyzing the a…
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for the security price with proportional transaction costs; we show how to introduce stop-loss and leverage in an optimal t…
Study analyzes crude oil futures markets using visibility graphs to understand their structure and dynamics.
Deep Q-Learning system for straddle options in volatile markets.
The growing conflicts in and about oil exporting regions and speculations about volatile oil prices during the last decade have renewed the public interest in predictions for the near future oil production and consumption. Unfortunately, studies from only 10 years ago, which tried to forecast the oil production during …
Oil prices affect Russian banks' stability, with negative impacts from decreases.
Coronavirus impacts oil prices through volatility and direct effects.
Study examines oil and US stock market interactions during coronavirus crisis.
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price shocks. To account for the fact that stock markets may respond nonlinearly to oil price shocks, we have examined both l…
Study examines impact of oil and gold prices on Tehran Stock Exchange.
Study uses APT and QR to identify risk factors affecting crude oil returns.
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations across a number of investmen…
The study examines how global economic policy uncertainty affects crude oil futures volatility.
We present a new Monte-Carlo methodology to forecast the crude oil production of Norway and the U.K. based on a two-step process, (i) the nonlinear extrapolation of the current/past performances of individual oil fields and (ii) a stochastic model of the frequency of future oil field discoveries. Compared with the stan…
A phase plot of the oil economy is built using the literature data of world oil production, price, and EROEI (Energy Returned on Energy Invested). An analogy between the oil economy and the Benard convection is proposed; some methods of interpretation and forecast of the system behavior are also shown based on "phase p…
Recently developed machine learning techniques, in association with the Internet of Things (IoT) allow for the implementation of a method of increasing oil production from heavy-oil wells. Steam flood injection, a widely used enhanced oil recovery technique, uses thermal and gravitational potential to mobilize and dilu…
Paper uses neural networks to analyze oil price impact on Iranian stock and industry indices.
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have practically no counterparty risk. Forwards, instead, may bear the full risk of def…
Study examines value relevance of oil and gas reserve disclosures in London Stock Exchange.
Study shows oil prices but not COVID-19 cases affect US economic policy uncertainty.
The paper presents a method for detecting jump sizes in crude oil prices.
Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as dem…
Wavelet analysis reveals financialization effects on oil-food price correlation.
This paper uses SampEn to measure and predict oil price volatility.
Methodology that recently lead us to predict to an amazing accuracy the date (July 11, 2008) of reverse of the oil price up trend is briefly summarized and some further aspects of the related oil price dynamics elaborated. This methodology is based on the concept of discrete scale invariance whose finance-prediction-or…
Crude oil is a major component in most advanced economies of the world. Accurately predicting and understanding the behavior of crude oil prices is important for economists, analysts, forecasters, and traders, to name a few. The price of crude oil has declined in the past decade and is seeing a phase of stability; but …
Study shows adding correlated features doesn't improve LSTM model interpretability for oil stocks.
The study finds a long-term relationship between Dubai crude oil and US natural gas prices.
Model predicts methane emissions from oil sands tailing ponds, suggesting significant environmental impact.
Study uses a bivariate model to price crude oil futures.
This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a nonlinear causal relationship among the three markets considered, with the causality go…
Hybrid approach improves crude oil price forecasting using multi-scale data.
The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed framework is empirically tested …
We develop a proxy model based on deep learning methods to accelerate the simulations of oil reservoirs--by three orders of magnitude--compared to industry-strength physics-based PDE solvers. This paper describes a new architectural approach to this task, accompanied by a thorough experimental evaluation on a publicly …
New risk measures incorporate economic states to assess crude oil derivatives.
Belief networks are a new, potentially important, class of knowledge-based models. ARCO1, currently under development at the Atlantic Richfield Company (ARCO) and the University of Southern California (USC), is the most advanced reported implementation of these models in a financial forecasting setting. ARCO1's underly…
The process of exploring and exploiting Oil and Gas (O&G) generates a lot of data that can bring more efficiency to the industry. The opportunities for using data mining techniques in the "digital oil-field" remain largely unexplored or uncharted. With the high rate of data expansion, companies are scrambling to develo…