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Author: Qiang Li (S.M.) Publisher: ISBN: Category : Languages : en Pages : 135
Book Description
An unexpected substantial reduction of oil price since June 2014 has drawn a great attention from governments, financial institutions and oil industry because oil supply has been a critical factor influencing the energy markets, economic development and geopolitics worldwide. From a system perspective, oil price results from the interactions of multiple entities and forces in the world oil market, and the impact of the low price has started propagating through the whole value chain of the industry resulting in a reduction of investment plans. Therefore, it is necessary to re-evaluate the key factors of the system and analyze how the oil industry would evolve when those factors vary. System dynamics modeling has been proved to be an efficient tool to capture dynamics of a complex system, such as world oil market, and it is intended to construct a system dynamics model in the thesis to understand how the world oil market would react to various disturbances. Based on a thorough review on oil industry and world oil market, key players are identified for major suppliers (OPEC, US, Non-OPEC, and Rest of the World - ROW) and major consumers (US, China, and ROW), and correlations among those players are established in the system dynamics model. Different scenarios are created and simulated to explore the dynamics of the world oil market. Starting from an initial equilibrium state, different scenarios simulate the impact of changes in OPEC oil production, the US oil demand, and China oil demand, respectively. Then the consequences of the changes combined the previous scenarios together are discussed. The constructed system dynamic model is able to capture the fundamental dynamics of the world oil market. Specifically, simulations addressing the booming of unconventional oil, changing oil production of OPEC, and slowing down of China's economy development that reflect the real situation in the current oil market confirm the reduction of oil price, and estimate how long the low oil price would last in different scenarios. Although the oil price predictions have to be taken with a great degree of caution, the developed mode is able to provide insightful implications for industry analysts and policy makers. The major challenges fall into how to balance the relationship between market shares and financial loss for oil producers, and energy security for major consumers.
Author: Qiang Li (S.M.) Publisher: ISBN: Category : Languages : en Pages : 135
Book Description
An unexpected substantial reduction of oil price since June 2014 has drawn a great attention from governments, financial institutions and oil industry because oil supply has been a critical factor influencing the energy markets, economic development and geopolitics worldwide. From a system perspective, oil price results from the interactions of multiple entities and forces in the world oil market, and the impact of the low price has started propagating through the whole value chain of the industry resulting in a reduction of investment plans. Therefore, it is necessary to re-evaluate the key factors of the system and analyze how the oil industry would evolve when those factors vary. System dynamics modeling has been proved to be an efficient tool to capture dynamics of a complex system, such as world oil market, and it is intended to construct a system dynamics model in the thesis to understand how the world oil market would react to various disturbances. Based on a thorough review on oil industry and world oil market, key players are identified for major suppliers (OPEC, US, Non-OPEC, and Rest of the World - ROW) and major consumers (US, China, and ROW), and correlations among those players are established in the system dynamics model. Different scenarios are created and simulated to explore the dynamics of the world oil market. Starting from an initial equilibrium state, different scenarios simulate the impact of changes in OPEC oil production, the US oil demand, and China oil demand, respectively. Then the consequences of the changes combined the previous scenarios together are discussed. The constructed system dynamic model is able to capture the fundamental dynamics of the world oil market. Specifically, simulations addressing the booming of unconventional oil, changing oil production of OPEC, and slowing down of China's economy development that reflect the real situation in the current oil market confirm the reduction of oil price, and estimate how long the low oil price would last in different scenarios. Although the oil price predictions have to be taken with a great degree of caution, the developed mode is able to provide insightful implications for industry analysts and policy makers. The major challenges fall into how to balance the relationship between market shares and financial loss for oil producers, and energy security for major consumers.
Author: Tamila Fonshtain Publisher: ISBN: Category : Languages : en Pages : 88
Book Description
Crude oil has a significant position in society as a crucial input to global, national and individual production and consumption. Therefore, it is a strategic resource that attracts the interest and attention of nearly everyone on the planet. The aim of this thesis is analyse the oil market in the period 2003 - October, 2008 with the purpose of explaining the recent oil price dynamics by supplementing the traditional theory of fundamentals with the theories from behavioural finance. To achieve the goal, first a thorough analysis of the two theoretical frameworks was conducted. Present writer then proceeded to analyse the oil market, its supply and demand factors and the oil price development in order to obtain an understanding of the fundamental drivers of the oil market and factors that influence the oil price formation. A behavioural theories were then used to analyse the latter. The main findings of the thesis showed that the oil market in the outlined period is not as efficient as predicted by the efficient market hypothesis. Furthermore, several market occurrences such as speculation, excessive trading and increasing price volatility indicated that the market exhibited the signs of a speculative bubble. The basic drivers of the observed behaviour was discussed by applying the insights of the behavioural theory. Not surprisingly, the explanatory power of these theories was substantial and contributed to the understanding of the reasons behind investor behaviour as well as the reason for prolonged state of mispricing. The present writer found this topic to be inspiring and exuberant and therefore hopes that the reader finds it just as exiting.
Author: Mark Cummins Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
We formally compare fundamental factor and latent factor approaches to oil price modelling. Fundamental modelling has a long history in seeking to understand oil price movements, while latent factor modelling has a more recent and limited history, but has gained popularity in other financial markets. The two approaches, though competing, have not formally been compared as to effectiveness. For a range of short- medium- and long-dated WTI oil futures we test a recently proposed five-factor fundamental model and a Principal Component Analysis latent factor model. Our findings demonstrate that there is no discernible difference between the two techniques in a dynamic setting. We conclude that this infers some advantages in adopting the latent factor approach due to the difficulty in determining a well specified fundamental model.
Author: Giulio Cifarelli Publisher: ISBN: Category : Languages : en Pages : 28
Book Description
This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause large departures of prices from their fundamental values. We investigate this hypothesis using a modified CAPM that follows Shiller (1984) and Sentana and Wadhwani (1992). At first, a univariate GARCH(1,1)-M is estimated assuming that the risk premium is a function of the conditional oil price volatility. The single factor model, however, is outperformed by the multifactor ICAPM (Merton, 1973) which takes into account a larger investment opportunity set. The analysis is then carried out using a trivariate CCC GARCH-M model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior. We find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time varying first and second order conditional moment interactions affect both the CAPM and feedback trading components of the model. Despite the difficulties, we identify a significant role of speculation in the oil market which is consistent with the observed large daily upward and downward shifts in prices. A clear evidence that it is not a fundamentals-driven market. Thus, from a policy point of view - given the impact of volatile oil prices on global inflation and growth - actions that monitor more effectively speculative activities on commodity markets are to be welcomed.
Author: Craig Pirrong Publisher: Cambridge University Press ISBN: 1139501976 Category : Business & Economics Languages : en Pages : 238
Book Description
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author: Bilash Kanti Bala Publisher: Springer ISBN: 9811020450 Category : Business & Economics Languages : en Pages : 287
Book Description
This book covers the broad spectrum of system dynamics methodologies for the modelling and simulation of complex systems: systems thinking, causal diagrams, systems structure of stock and flow diagrams, parameter estimation and tests for confidence building in system dynamics models. It includes a comprehensive review of model validation and policy design and provides a practical presentation of system dynamics modelling. It also offers numerous worked-out examples and case studies in diverse fields using STELLA and VENSIM. The system dynamics methodologies presented here can be applied to nearly all areas of research and planning, and the simulations provided make the complicated issues more easily understandable. System Dynamics: Modelling and Simulation is an essential system dynamics and systems engineering textbook for undergraduate and graduate courses. It also offers an excellent reference guide for managers in industry and policy planners who wish to use modelling and simulation to manage complex systems more effectively, as well as researchers in the fields of modelling and simulation-based systems thinking.
Author: Peter W. Sauer Publisher: ISBN: Category : Technology & Engineering Languages : en Pages : 376
Book Description
For a one-semester senior or beginning graduate level course in power system dynamics. This text begins with the fundamental laws for basic devices and systems in a mathematical modeling context. It includes systematic derivations of standard synchronous machine models with their fundamental controls. These individual models are interconnected for system analysis and simulation. Singular perturbation is used to derive and explain reduced-order models.
Author: Publisher: SET Vakfı İktisadi İşletmesi ISBN: Category : Political Science Languages : en Pages : 241
Book Description
Energy security, at the heart of energy policy, has become central to the dynamics of international relations. Political turmoil has overwhelmed many oil and gas producing countries, forcing them to adapt their national energy policies according to this continuous change. Specifically, because of the wars and instability in the Middle East and the Ukrainian crisis, global energy security is no longer guaranteed. One of the foremost experts on the energy industry, Daniel Yergin, identifies energy security as “the availability of sufficient supplies at affordable prices.” He also comments that every country interprets the definition of energy security with its own dynamics. In practice, the definition of energy security is polysemic and the topic of energy security is being explored daily, under the lens of numerous new studies, by scholars, energy experts, government officials, activists, and journalists.
Author: John D. W. Morecroft Publisher: John Wiley & Sons ISBN: 1118994817 Category : Business & Economics Languages : en Pages : 507
Book Description
Insightful modelling of dynamic systems for better business strategy The business environment is constantly changing and organisations need the ability to rehearse alternative futures. By mimicking the interlocking operations of firms and industries, modelling serves as a ‘dry run’ for testing ideas, anticipating consequences, avoiding strategic pitfalls and improving future performance. Strategic Modelling and Business Dynamics is an essential guide to credible models; helping you to understand modelling as a creative process for distilling and communicating those factors that drive business success and sustainability. Written by an internationally regarded authority, the book covers all stages of model building, from conceptual to analytical. The book demonstrates a range of in-depth practical examples that vividly illustrate important or puzzling dynamics in firm operations, strategy, public policy, and everyday life. This updated new edition also offers a rich Learners' website with models, articles and videos, as well as a separate Instructors' website resource, with lecture slides and other course materials (see Related Websites/Extra section below). Together the book and websites deliver a powerful package of blended learning materials that: Introduce the system dynamics approach of modelling strategic problems in business and society Include industry examples and public sector applications with interactive simulators and contemporary visual modelling software Provide the latest state-of-the-art thinking, concepts and techniques for systems modelling The comprehensive Learners' website features models, microworlds, journal articles and videos. Easy-to-use simulators enable readers to experience dynamic complexity in business and society. Like would-be CEOs, readers can re-design operations and then re-simulate in the quest for well-coordinated strategy and better performance. The simulators include a baffling hotel shower, a start-up low-cost airline, an international radio broadcaster, a diversifying tyre maker, commercial fisheries and the global oil industry. "Much more than an introduction, John Morecroft’s Strategic Modelling and Business Dynamics uses interactive ‘mini-simulators and microworlds’ to create an engaging and effective learning environment in which readers, whatever their background, can develop their intuition about complex dynamic systems." John Sterman, Jay W. Forrester Professor of Management, MIT Sloan School of Management "Illustrated by examples from everyday life, business and policy, John Morecroft expertly demonstrates how systems thinking aided by system dynamics can improve our understanding of the world around us." Stewart Robinson, Associate Dean Research, President of the Operational Research Society, Professor of Management Science, School of Business and Economics, Loughborough University
Author: Qiang Li (S.M.)
Author: Qiang Li (S.M.)
Author: Tamila Fonshtain
Author: Mark Cummins
Author: Giulio Cifarelli
Author: Craig Pirrong
Author: Bassam Fattouh
Author: Bilash Kanti Bala
Author: Peter W. Sauer
Author: 
Author: John D. W. Morecroft