Study On The Stochastic Dynamic Model Of WTI Crude Oil Price

Oil is a very special commodity,and its price has an important impact on the economy of all countries in the world.Research shows that a negative cointegration relationship between oil price and economic growth,several times in the history of major economic recession and high oil prices have a certain relationship,such as 1973 to the first oil crisis in 1974,the international crude oil prices from $3 to $12,triggering the worst second world wars after the global economic crisis.With the rapid development of China’s economy,the demand for energy is becoming more and more important.But the domestic oil reserves less,output growth slow,and the industrial development of oil demand growth too fast,which leads to the domestic oil market is heavily dependent on the international oil market,crude oil and oil products by the international market price fluctuations larger,there are serious security risks for China’s industrial development and the overall economic development,the price of oil the fluctuation will directly have a huge impact on the real economy.How to safeguard China’s energy security is a comprehensive problem,and it needs to be studied from many angles.By studying the fluctuation of crude oil price and forecasting the fluctuation of crude oil price,taking measures is one of the most important ways to ensure energy security.By studying the literature of crude oil pricing model at home and abroad,we can find that the crude oil pricing model can be roughly divided into three categories: traditional model,classical model and modern model.Before 1990 s,the traditional models occupied the leading position.But with the development of science and technology and the improvement of computing level and data quality,the number of classical models and modern models increased rapidly since twentieth Century.Most scholars carry on the pricing of crude oil mainly through the study of the factors affecting the price of crude oil,and the basic construction is the traditional model.Although the traditional model has good effect on the history of crude oil price,the prediction accuracy still needs to be improved.In this paper,the crude oil price is simulated and predicted by classical model.The O-U process,CIR model and Dixit-Pindyck model are used as benchmark models to construct the crude oil pricing model,which improves the prediction accuracy of crude oil price.In addition,this paper further analyzes the factors affecting the price of crude oil and the fluctuation characteristics of the price of crude oil,and further optimizes the pricing model.In the research process,the maximum likelihood method is used to estimate the parameters of the model,and the parameter fitting method is used to compare the fitting effect of the model,and the best fitting model is selected from it.Finally,the selected optimal model is used to predict the price of crude oil.The empirical results show that:(1)as a special commodity,the price of crude oil is affected by the supply and demand in the market economy.When demand and supply are affected by external factors,the equilibrium price of the market will change.When the demand increases,the price rises,and when the supply increases,the price will fall.As the currency of international crude oil is the dollar,the fluctuation of the value of the dollar will inevitably cause the fluctuation of the price of crude oil.The price of crude oil will rise and the price of crude oil will fall as the dollar devaluates.The gross domestic product is increasing and the demand for oil is also increasing.In addition,the growth of the whole economy will bring inflation,and the price of crude oil will also rise.(2)the stochastic dynamic model can be used to simulate the price of crude oil more ideally.According to the fitting effect,the two factor CIR model without seasonal factors has the best fitting effect.In the comparison,it is also found that the goodness of fit of the model CIR to the price is higher than that of the O-U process and the Dixit-Pindyck model.In addition,it can be seen from the fitting effect map that the goodness of fit of the two factor model is higher than the goodness of fit of the single factor model.(4)by forecasting the price of North American West Texas crude oil from January 3,2017 to December 4,2017,we can see that the two factor CIR model without seasonal factors has a good prediction effect,and the coefficient of determination in the parameter test method is more than 0.5.As a basic problem in the financial field,price modeling is of great significance in reality,and it is worth studying in depth.This paper expands the theoretical application of the stochastic dynamic model,and provides a reference for the prediction of crude oil price,and improves the prediction accuracy of the crude oil pricing model.However,there are some shortcomings in this paper,which need to be further studied and improved in the future.