2004年以来国际原油价格进入高位变化期.DOC

A Trend Deduction Model of Fluctuating Oil Prices Haiyan Xua,c ZhongXiang Zhangb,c* a Institute of International Studies, Fudan University, Shanghai 200129, China b Research Program, East-West Center, 1601 East-West Road, Honolulu, HI 96848-1601, USA c Center for Energy Economics and Strategy Studies, Fudan University, Shanghai, China Abstract Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle- and long-terms and predict their price levels in the short-term. Following a price-state classification and state transition analysis of changing oil prices from January 2004 to April 2010, this paper first verifies that the observed crude oil price series during the soaring period follow a Markov Chain. Next, the paper deduces the changing trends of oil prices by the limit probability of a Markov Chain. We then undertake a probability distribution analysis and find that the oil price series have a log-normality distribution. On this basis, we integrate the two models to deduce the changing trends of oil prices from the short-term to the middle- and long-terms, thus making our deduction academically sound. Our results match the actual changing trends of oil prices, and show the possibility of re-emerging soaring oil prices. Keywords: Oil price; Log-normality distribution; Limit probability of a Markov Chain; Trend deduction model; OPEC JEL Classification: Q41; Q47; C12; C49; F01; O13. I. Introduction Since 2004, crude oil prices had tended to fluctuate at high level and by a large range. After four-year price soaring, oil prices had been extraordinarily soaring from August 2008 for a half year and then fell straightly to the starting level in early 2004. This was followed by a new round of climbing oil prices to a high level. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of o