On the Difficulty of Interpreting Market Behavior in an Uncertain World : The Case of Oil Futures Pricing between 2003 and 2016

Our results show that over the period 2003-2016 a significant change in the working of oil markets occurs. Pricing investigation, which was based essentially on a traditional analysis of supply and demand forecasts, loses its explanatory power and hence its credibility. From 2009 onwards, the sharp and unexpected fluctuations in oil prices, compounded by unpredictable political factors and technological break-troughs (e.g. tight/shale oil) strongly raises uncertainty and reduces the effectiveness of customary forecasting techniques. These findings are reflected in the estimates of a three-agent model (hedgers, fundamentalist speculators and chartists), which clearly identify these behavioural changes