Bernabe, Araceli; Martina, Esteban; Alvarez-Ramirez, Jose; … - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 3, pp. 567-584
This paper develops a stochastic multi-model approach to describe the dynamics of crude oil prices. Based on the hypothesis that crude oil price dynamics reflects the activity of a competitive market with multiple equilibria, a mean-reversion multi-model incorporating two competitive processes...