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.
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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