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A Risk Model for Assessing Exposure Factors Influence Oil Price Fluctuations

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Advanced Intelligent Computing Technology and Applications (ICIC 2023)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 14090))

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Abstract

The impact of oil price volatility on the global economy is considerable. However, the uncertainty of crude oil prices is affected by many risk factors. Several prior studies have examined the factors that impact oil price fluctuations, but these methods are unable to indicate their dynamic non-fundamental factors. To address this issue, we propose a risk model inspired by the Mean-Variance Portfolio theory. The model can automatically construct optimal portfolios that seek to maximize returns with the lowest level of risk without needing human intervention. The results demonstrate a significant asymmetric cointegrating correlation between oil price volatility and non-fundamental factors.

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Author information

Authors and Affiliations

  1. Datactics, Belfast, Northern Ireland, UK

    Raghad Alshabandar

  2. School of Engineering, Technology and Design, Canterbury Christ Church University, Canterbury, UK

    Ali Jaddoa

  3. University of Sharjah, Sharjah City, UAE

    Abir Hussain

Authors
  1. Raghad Alshabandar
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  2. Ali Jaddoa
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  3. Abir Hussain
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Corresponding author

Correspondence to Raghad Alshabandar .

Editor information

Editors and Affiliations

  1. Department of Computer Science, Eastern Institute of Technology, Zhejiang, China

    De-Shuang Huang

  2. University of Wollongong, North Wollongong, NSW, Australia

    Prashan Premaratne

  3. Zhengzhou University of Light Industry, Zhengzhou, China

    Baohua Jin

  4. Zhong Yuan University of Technology, Zhengzhou, China

    Boyang Qu

  5. University of Ulsan, Ulsan, Korea (Republic of)

    Kang-Hyun Jo

  6. Department of Computer Science, Liverpool John Moores University, Liverpool, UK

    Abir Hussain

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© 2023 The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.

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Alshabandar, R., Jaddoa, A., Hussain, A. (2023). A Risk Model for Assessing Exposure Factors Influence Oil Price Fluctuations. In: Huang, DS., Premaratne, P., Jin, B., Qu, B., Jo, KH., Hussain, A. (eds) Advanced Intelligent Computing Technology and Applications. ICIC 2023. Lecture Notes in Computer Science(), vol 14090. Springer, Singapore. https://doi.org/10.1007/978-981-99-4761-4_41

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  • DOI: https://doi.org/10.1007/978-981-99-4761-4_41

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  • Publisher Name: Springer, Singapore

  • Print ISBN: 978-981-99-4760-7

  • Online ISBN: 978-981-99-4761-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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