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The application of fractal theory in forecasting oil price fluctuation

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3 Author(s)
Yingjun Wang ; Sch. of Bus. Adm., China Univ. of Pet., Beijing, China ; Yongqing Shang ; Lidong Zhong

Influenced by various kinds of unpredictable factors, the forecast of crude oil price has always been a worldwide challenge. With its own advantages, fractal theory was considered as an ideal method in solving this problem. As a trend extrapolation model based on historical data, data examine process is necessary to make sure the original data is available for trend extrapolation, and using rescale range method to execute Hurst index test was considered as an efficient way to accomplish the examine purpose. Based on the principles of fractal theory, this paper proposed basic steps in forecasting the crude oil price. The WTI prices of 10 months, from February, 2009 to November, 2009, will be taken as reference to analyze and forecast the monthly prices of December 2009, January and February 2010. The feasibility and effectivity of this method has been proved by comparing the predicted prices with real prices.

Published in:

Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on

Date of Conference:

17-19 Sept. 2010

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