@article{Joëts:148918,
      recid = {148918},
      author = {Joëts, Marc},
      title = {Heterogeneous Beliefs, Regret, and Uncertainty: The Role  of Speculation in Energy Price Dynamics},
      address = {2013-04},
      number = {830-2016-55305},
      series = {ERM},
      pages = {45},
      year = {2013},
      abstract = {This paper proposes to investigate the impact of  financialization on energy markets (oil, gas, coal and  electricity European forward prices) during both normal  times and extreme fluctuation periods through an original  behavioral and emotional approach. To this aim, we propose  a new theoretical and empirical framework based on a  heterogeneous agents model in which fundamentalists and  chartists co-exist and are subject to regret and  uncertainty. We find significant evidence that energy  markets are composed by heterogeneous traders which behave  differently depending on the intensity of the price  fluctuations and uncertainty context. In particular, energy  prices are mainly governed by fundamental and chartist  neutral agents during normal times whereas they face to  irrational chartist averse investors during extreme  fluctuations periods. In this context, the recent energy  prices surge can be viewed as the consequence of irrational  exhuberance. Our new theoretical model outperforms the  random walk in out-of-sample predictive ability.},
      url = {http://ageconsearch.umn.edu/record/148918},
      doi = {https://doi.org/10.22004/ag.econ.148918},
}