CYCLICAL MACKEY-GLASS MODEL FOR OIL BULL SEASONALS

摘要

In this paper an empirical oil market model was developed to detect dynamic seasonal cyclical behaviors in oil price series. The main conclusion obtained from this application is that oil prices have greater potential to show strong seasonality in both the December-January and August periods of the year. The movements associated with frequency π/3 appeared to be persistent over time. Moreover, results suggest that speculative activities are responsible for changes in spot prices in both peaks in the year, especially when speculative trading strategies are influenced by periodic information.