Research on Shanghai Crude Oil Futures Price Fluctuation Based on Principal Component Analysis

2020 ◽  
Vol 09 (03) ◽  
pp. 377-385
Author(s):  
亚慧 李
Keyword(s):  
Principal Component Analysis ◽  
Crude Oil ◽  
Principal Component ◽  
Component Analysis ◽  
Price Fluctuation ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
Futures Price

scholarly journals Research on the Correlation Between WTI Crude Oil Futures Price and European Carbon Futures Price

2021 ◽  
Vol 9 ◽  
Author(s):  
Zhengwei Ma ◽  
Yuxin Yan ◽  
Ruotong Wu ◽  
Feixiao Li
Keyword(s):  
Crude Oil ◽  
Carbon Emission ◽  
Mutual Effect ◽  
Futures Prices ◽  
Price Fluctuation ◽  
Oil Futures ◽  
Sea Levels ◽  
Crude Oil Futures ◽  
Futures Price ◽  
Emission Rights

In recent years, the rapid increase in CO2 concentration has accelerated global warming. As a result, sea levels rise, glaciers melt, extreme weather occurs, and species become extinct. As the world’s largest CO2 emission rights trading market, EU Emissions Trading System (EU-ETS) has reached 1.855 billion tons of quotas by 2019, influencing the development of the global carbon emission market. Crude oil, as one of the major fossil energy sources in the world, its price fluctuation is bound to affect the price of carbon emission rights. Therefore, this paper aims to reveal the correlation between crude oil futures prices and carbon emission rights futures prices by studying the price fluctuation. In this paper, the linkage between West Texas Intermediate (WTI) crude oil futures prices and European carbon futures prices was investigated. In addition, this paper selects continuous data of WTI crude oil futures prices and spot prices with European carbon futures prices from January 8, 2018 to November 27, 2020, and builds a smooth transformation regression (STR) model. The relationship between crude oil futures and carbon futures prices is studied in both forward and reversal linkage through empirical analysis. The results show that crude oil futures prices and carbon futures prices have a mutual effect on each other, and both linear and nonlinear correlations between the two prices exist. Based on the results of this research, some suggestions are provided.

scholarly journals Principal Component Analysis of Nigerian Economy from 2006 – 2017

2019 ◽  
pp. 1-9
Author(s):  
Samuel Olorunfemi Adams ◽  
Muhammad Ardo Bamanga ◽  
Amina Mbusube
Keyword(s):  
Principal Component Analysis ◽  
Crude Oil ◽  
Social Services ◽  
Negative Relationship ◽  
Mineral Resources ◽  
Principal Component ◽  
Economic Factor ◽  
Component Analysis ◽  
Economic Factors ◽  
Oil And Natural Gas

The economy of a developing country like Nigeria depends mainly on crude oil exploration, currently other economic factors such as Agriculture, Industrialization, Manufacturing, other available mineral resources e.t.c., are not properly harnessed to improve the country’s GDP. A detailed study of the effect of ten economic factors of Nigeria’s economy was investigated and Principal Component Analysis was employed to explain the relationship, distribution and effect of the factors among the various sectors of Nigeria. It was discovered that a strong positive significant association existed between building and manufacturing, construction, wholesale and retail, transportation, communication, utilities, real estate and community social services, while a negative relationship existed between cruel oil and Agriculture. The component with the highest effect on the Nigerian economy was Agriculture, followed by crude oil and manufacturing/industrialization. The PCA has suggested retaining two components i.e. Agriculture and cruel oil. It was recommended that Nigeria Government should consider Agriculture first as the major economic factor before cruel oil and natural Gas.

Fundamentals and Commodity Prices

2018 ◽  
Author(s):  
Michael S. Haigh
Keyword(s):  
Principal Component Analysis ◽  
Crude Oil ◽  
Real Time ◽  
Supply And Demand ◽  
Commodity Prices ◽  
Principal Component ◽  
Component Analysis ◽  
Commodity Markets ◽  
Economic Crises ◽  
Oil Market

Commodity markets occasionally co-move with the broader macro markets for reasons beyond their own fundamentally driven physical characteristics. This chapter focuses on two related avenues to look beyond the fundamentals of counting barrels, tonnes, bushels, or molecules. The first section uses a principal component analysis to disentangle how fundamentals versus non-fundamentals drive commodity prices and focuses on the crude oil market. The results are intuitive and allow isolating the extent to which supply and demand matter to price changes experienced in the market. Furthermore, the results enable understanding whether the diversification benefits of commodity markets exist in almost real time. Second, given the ability to segment fundamentally driven commodities from others, the chapter focuses on how much supply or demand factors attribute to the fundamental variation in prices. The analysis reveals that, in the oil market, supply concerns drive prices during geopolitical tensions, while demand concerns dominate during economic crises.

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