Random Walk Simulation on Crude Oil Price for the First 20 Years in the 21st Century

Shaomin Yan, Guang Wu

2022

Abstract

The crude oil perhaps is the most important commodity in the world. Therefore, not only the crude oil price but also its derivates such as futures and warrants are closely following by hedge funds, investment banks and institutions, individual investors, venture capitals, etc. In reality, the crude oil price is subject to many factors, which lead it less manipulated and more random. We therefore apply the random walk simulation to study the crude oil prices for the first 20 years in the 21st century in this report. The results show that the random walk simulation can follow the general trend closely for a relatively short period, but fails to catch up with historically unprecedented event.

Paper Citation

in Harvard Style

Yan S. and Wu G. (2022). Random Walk Simulation on Crude Oil Price for the First 20 Years in the 21st Century. In Proceedings of the International Conference on Big Data Economy and Digital Management - Volume 1: BDEDM, ISBN 978-989-758-593-7, pages 569-573. DOI: 10.5220/0011191900003440

in Bibtex Style

@conference{bdedm22,
author={Shaomin Yan and Guang Wu},
title={Random Walk Simulation on Crude Oil Price for the First 20 Years in the 21st Century},
booktitle={Proceedings of the International Conference on Big Data Economy and Digital Management - Volume 1: BDEDM,},
year={2022},
pages={569-573},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011191900003440},
isbn={978-989-758-593-7},
}

in EndNote Style

TY - CONF

JO - Proceedings of the International Conference on Big Data Economy and Digital Management - Volume 1: BDEDM,
TI - Random Walk Simulation on Crude Oil Price for the First 20 Years in the 21st Century
SN - 978-989-758-593-7
AU - Yan S.
AU - Wu G.
PY - 2022
SP - 569
EP - 573
DO - 10.5220/0011191900003440