http://repub.eur.nl/res/concept/jel-Q41/ Recent publications classified by JEL Code Q41 en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/21598/ 2010-11-01T00:00:00Z In this paper, we develop and test a heterogeneous agent model for the oil market. The demand for oil is divided in a speculative component and a real component. Speculators are boundedly rational in forming price expectations. Expectations are formed by one of two boundedly rational rules of thumb: fundamentalist and chartist. While fundamentalists trade on mean-reversion, chartists follow the trend in prices. Speculators then choose between these rules based on past profitability. Estimation results on Brent and WTI oil reveal that both groups are active in the oil market, and that speculators often switch between the groups. The model outperforms both the random walk and VAR models in out-of-sample forecasting. Ellen, S. ter Zwinkels, R.C.J. http://repub.eur.nl/res/pub/6988/ 2005-10-14T00:00:00Z Due to its non-storable nature, electricity is a commodity with probably the most volatile spot prices, exemplified by occasional spikes. Appropriate pricing, portfolio, and risk management models have to incorporate these characteristics, and the spikes in particular. We investigate the nature of power spikes in a number of different markets. We test what time-series model is best able to capture the dynamics of these disruptive spot prices. We use regime-switching models to infer whether the price spikes should be treated as abnormal and independent deviations from the ‘normal’ price dynamics or whether they form an integral part of the price process. We test the time-series models on day-ahead markets in Europe and the US. We find that regimeswitch models are better able to capture the market dynamics than a GARCH(1,1) or Poisson jump model. We also find clear differences between the markets and attribute part of the differences to the share of hydro-power in the total supply stack: hydro-power serves as an indirect means to store electricity, which has a dampening effect on spikes. Jong, C.M. de