Quantile Regression Model And Its Application In The Oil Market Analysis

In recent years the international oil price changes frequently, and as the important basic energy products and industrial raw materials, pricing changing of petroleum will greatly affect the economy. Under this condition, study the rules and reasons of oil price fluctuations have significant theory meanings and valuable application in practical. Quantile regression can be used to analysis the distribution conditional of variable dependent to fitting the regression of independent. It also can deeply analysis relationship of the independent variable and regression dependent variable under the condition of different quantiles, as well as the changing rules.Main content of this paper as below:1. Overviewed the status of domestic and abroad research of the factors which impact the oil price and the model of quantile regression. Described the basic idea and related theories of the model of quantile regression. Introduced the method of estimate about model parameters and significant testing2. Create the quantile regression model to discuss the influence for the price of Daqing Petroleum form the financial stock market both domestic and abroad. We will chose the financial stock index mainly from the Dow Jones Industrial Average index, the NASDAQ index, the Nikkei index, Standard & Poor’s index, the Shanghai composite index. (1) The Dow Jones Industrial Average index and Daqing Petroleum price are. positive correlation. The Standard & Poor’s index, the Nikkei index, the Shanghai Composite index are negative correlation in price with Daqing Petroleum. When the quantile in low point, the NASDAQ index and Daqing Petroleum price are negative correlation. When the quantile in high point, the NASDAQ index and Daqing Petroleum price are positive correlation.(2) With increase of the Dow Jones Industrial Average index, the price of Daqing Petroleum will increased accordingly in next day. With increase of the Standard & Poor’s index, the Nikkei index, the Shanghai Composite index, the price of Daqing Petroleum will increased accordingly in next day. When the quantile in low point, the price of Daqing Petroleum will decrease while the index of NASDAQ index are increase. When the quantile in high point, with the increase of index in NASDAQ, the price of Daqing petroleum will increase too.