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A class of short-term models for the oil industry addressing speculative storage

Achdou, Yves; Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis; Rostand, Antoine; Scheinkman, José (2022), A class of short-term models for the oil industry addressing speculative storage, Finance and Stochastics, 26, p. 631–669. 10.1007/s00780-022-00481-y

Type
Article accepté pour publication ou publié
Date
2022
Journal name
Finance and Stochastics
Volume
26
Publisher
Springer
Published in
Paris
Pages
631–669
Publication identifier
10.1007/s00780-022-00481-y
Metadata
Show full item record
Author(s)
Achdou, Yves
Laboratoire Jacques-Louis Lions [LJLL (UMR_7598)]
Bertucci, Charles
Centre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
Lasry, Jean-Michel
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Lions, Pierre-Louis
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Rostand, Antoine
Scheinkman, José
Department of Economics
Abstract (EN)
The aim is to propose a plausible mechanism for the short term dynamics of the oil market based on the interaction of economic agents. This is a theoretical research which by no means aim at describing all the aspects of the oil market. In particular, we use the tools and terminology of game theory, but we do not claim that this game actually exists in the real world. In parallel, we are currently studying and calibrating a long term model for the oil industry, which addresses the interactions of a monopolists with a competitive fringe of small producers. It is the object of another paper that will be available soon. The present premiminary version does not contain all the economic arguments and all the connections with our long term model. It mostly addresses the description of the model, the equations and numerical simulations focused on the oil industry short term dynamics.
Subjects / Keywords
oïl industry; short term models; Economics of oil industry; Major agent facing a crowd of physical arbitrageurs; Boundary conditions linked to state constraints

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