Mean reversion versus random walk in oil and natural gas prices

Geman, Hélyette (2007) Mean reversion versus random walk in oil and natural gas prices. In: UNSPECIFIED (ed.) Advances in Mathematical Finance. Applied and Numerical Harmonic Analysis. Birkhäuser Basel: Springer, pp. 219-228. ISBN 9780817645441.

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Official URL: https://doi.org/ 10.1007/978-0-8176-4545-8

Abstract

The goals of the paper are as follows: (i) review some qualitative properties of oil and gas prices in the last 15 years; (ii) propose some mathematical elements towards a definition of mean reversion that would not be reduced to the form of the drift in a stochastic differential equation; (iii) conduct econometric tests in order to conclude whether mean reversion still exists in the energy commodity price behavior. Regarding the third point, a clear “break” in the properties of oil and natural gas prices and volatility can be exhibited in the period 2000–2001.

Metadata

Item Type:	Book Section
School:	Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
Depositing User:	Sarah Hall
Date Deposited:	02 Jun 2020 14:27
Last Modified:	02 Aug 2023 18:00
URI:	https://eprints.bbk.ac.uk/id/eprint/32110

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