文献类型：期刊文献

英文题名：The 2006-2008 oil bubble: Evidence of speculation, and prediction

作者：Sornette, Didier[1,2];Woodard, Ryan[1];Zhou, Wei-Xing[3,4,5]

机构：[1]Swiss Fed Inst Technol, Dept Management Technol & Econ, Chair Entrepreneurial Risks, CH-8001 Zurich, Switzerland;[2]Univ Geneva, Swiss Finance Inst, CH-1211 Geneva, Switzerland;[3]E China Univ Sci & Technol, Sch Business, Sch Sci, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[5]Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China

年份：2009

卷号：388

期号：8

起止页码：1571

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20090711905427);WOS:【SCI-EXPANDED(收录号:WOS:000264095500025)】；

基金：We express our gratitude to Talal Bessa and Hilary Woodard for helping us analyze reports on the impact of geopolitical uncertainties on oil prices. We thank Didier Darcet from Renaissance Investment Management for useful discussions and Tam Hunt from the Community Environmental Council of Santa Barbara, California, USA, for a stimulating correspondence. WXZ acknowledges financial supports from the National Natural Science Foundation of China (Grant 7050 1011), the Fok Ying Tong Education Foundation (Grant 101086), the Shanghai Dawn Light Program, and the Program for New Century Excellent Talents in University (Grant NCET-07-0288).

语种：英文

外文关键词：Econophysics; Commodities; Oil bubble; Speculation; Prediction

摘要：We present an analysis of oil prices in USD and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up was amplified by speculative behavior of the type found during a bubble-like expansion. We also attempt to unravel the information hidden in the oil supply-demand data reported by two leading agencies, the US Energy Information Administration (EIA) and the International Energy Agency (IEA). We suggest that the found increasing discrepancy between the EIA and IEA figures provides a measure of the estimation errors. Rattler than a clear transition to a supply restricted regime, we interpret the discrepancy between the IEA and EIA as a signature Of uncertainty, and there is no better fuel than uncertainty to promote speculation! Our post-crash analysis confirms that the oil peak in July 2008 occurred within the expected 80% confidence interval predicted with data available in our pre-crash analysis. (C) 2009 Elsevier B.V. All rights reserved.