Information Diffusion-Based Modeling of Oil Futures Prices

摘要: This paper investigates an information diffusion-based oil futures pricing model developed by Li et al. (2012) to analyze its credibility and evaluate potential. It examines two important aspects of the (information innovation rate diffusion) methods used derive proxies for them (Bry Boschan (1971) algorithm ARMA(1,1) – GARCH(1,1) process, respectively). Implementation both provided results similar those (2012). Closer investigation into methods, however, revealed some models weaknesses limitations. Bry Boschan’s introduced inconsistencies subjectivity model, while that other conditional mean variance processes may deliver better than component-GARCH chosen in original paper. In spite these weaknesses, still seems promising offers a fresh alternative approach modeling prices. With addressed, full potential can be achieved.