Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics

DOI10.1016/J.EJOR.2015.05.061MaRDI QIDQ319957zbMATH OpenOpenAlexFDO

Authors Marc Joëts

Publication date 6 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/148918/files/NDL2013-032.pdf

zbMATH Keywords

heterogeneous agentsuncertainty aversionregretenergy forward pricesfinancialization

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Microeconomic theory (price theory and economic markets) (91B24) Heterogeneous agent models (91B69)

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Cites work

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• What is an oil shock?

Cited in

(8)

• Attention matters: an exploration of relationship between Google search behaviors and crude oil prices
• Regret-aversion over different maturities: application to energy futures markets
• Empirical study on influencing factors and fluctuations law of energy prices based on factor and partial least-square regression analysis
• Estimating the term structure of commodity market preferences
• It takes all sorts: a heterogeneous agent explanation for prediction market mispricing
• Local Gaussian correlations in financial and commodity markets
• Enter the MATRIX model:a multi-agent model for transition risks with application to energy shocks
• Analysis of mathematical model about the influence of investors' overconfidence on carbon futures price in international carbon market

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