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Pricing of Liqueed Petroleum Gas in North-West Europe

Engström, Daniel (2014) FMS820 20142
Mathematical Statistics
Abstract
Liquefied Petroleum Gas (LPG) is a flammable mixture of hydrocarbon gases, mainly propane and butane, used for various heating purposes and as vehicle fuel. This thesis
focuses on examining the LPG market, evaluating a couple of driving factor hypotheses for the propane price and developing a model for forecasting of future propane prices in North-West Europe, both on daily and monthly horizons. It is shown that especially two factors, crude oil (brent) and naphtha, which is a light crude oil distillate produced when refining crude oil, have strong relation to propane and may affect the propane price. Unfortunately, no good model to forecast the daily propane price was developed. For the monthly average price, the proposed models perform... (More)
Liquefied Petroleum Gas (LPG) is a flammable mixture of hydrocarbon gases, mainly propane and butane, used for various heating purposes and as vehicle fuel. This thesis
focuses on examining the LPG market, evaluating a couple of driving factor hypotheses for the propane price and developing a model for forecasting of future propane prices in North-West Europe, both on daily and monthly horizons. It is shown that especially two factors, crude oil (brent) and naphtha, which is a light crude oil distillate produced when refining crude oil, have strong relation to propane and may affect the propane price. Unfortunately, no good model to forecast the daily propane price was developed. For the monthly average price, the proposed models perform badly when forecasting the actual price, but one of the models, an AR(12)model, which can forecast the direction of propane price movements one and two months forward in time is presented. The AR(12) model is
able to forecast the correct price movement direction with an accuracy of over 70%. This result is good, and shows that the AR(12) model is a useful tool in the LPG trading. (Less)
Please use this url to cite or link to this publication:
author
Engström, Daniel
supervisor
organization
course
FMS820 20142
year
type
H2 - Master's Degree (Two Years)
subject
language
English
id
4623167
date added to LUP
2014-09-05 08:39:07
date last changed
2014-09-05 08:39:07
@misc{4623167,
  abstract     = {{Liquefied Petroleum Gas (LPG) is a flammable mixture of hydrocarbon gases, mainly propane and butane, used for various heating purposes and as vehicle fuel. This thesis
focuses on examining the LPG market, evaluating a couple of driving factor hypotheses for the propane price and developing a model for forecasting of future propane prices in North-West Europe, both on daily and monthly horizons. It is shown that especially two factors, crude oil (brent) and naphtha, which is a light crude oil distillate produced when refining crude oil, have strong relation to propane and may affect the propane price. Unfortunately, no good model to forecast the daily propane price was developed. For the monthly average price, the proposed models perform badly when forecasting the actual price, but one of the models, an AR(12)model, which can forecast the direction of propane price movements one and two months forward in time is presented. The AR(12) model is
able to forecast the correct price movement direction with an accuracy of over 70%. This result is good, and shows that the AR(12) model is a useful tool in the LPG trading.}},
  author       = {{Engström, Daniel}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Pricing of Liqueed Petroleum Gas in North-West Europe}},
  year         = {{2014}},
}