Analysis of the oil futures market: Cahiers du CEG, n° 13

The aim of this work was to gain some insight into the American crude oilfutures market using the means of multivariate data analysis. Using thesetechniques, the first step was to find out if there is some identifiable behavior ofthe crude oil price and to which fondamental market factors such behavior ismost related. Two models are developed, a descriptive mode! to explain thetime behavior of the crude oil futures price, and a forecasting model to predictthe price changes whithout calling on the speculative factors but using solely thefundamental physical factors of the market