Modelación del comportamiento de los precios del petróleo mediante modelos estocásticos

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dc.contributor.advisorLamos Diaz, Henry
dc.contributor.advisorVecino Arenas, Carlos Enrique
dc.contributor.authorJerez Barajas, Mayra Alejandra
dc.date.accessioned2024-03-03T22:40:41Z
dc.date.available2016
dc.date.available2024-03-03T22:40:41Z
dc.date.created2016
dc.date.issued2016
dc.description.abstractEl petróleo se ha convertido en un gran protagonista en la economía global por ser el eje principal de la mayoría de industrias manufactureras y de transporte, afectando de manera significativa la dinámica de las economías de los países en donde su principal actividad económica se fundamenta en la explotación e industrialización del petróleo. La constante variabilidad en el precio del petróleo a través del tiempo, ha generado la necesidad de que a nivel científico se busquen o generen modelos matemáticos que permitan pronosticar a corto y largo plazo el precio del petróleo de manera eficiente.
dc.description.abstractenglishModeling the behavior of oil prices by stochastic models 3
dc.description.degreelevelPregrado
dc.description.degreenameIngeniero Industrial
dc.format.mimetypeapplication/pdf
dc.identifier.instnameUniversidad Industrial de Santander
dc.identifier.reponameUniversidad Industrial de Santander
dc.identifier.repourlhttps://noesis.uis.edu.co
dc.identifier.urihttps://noesis.uis.edu.co/handle/20.500.14071/34743
dc.language.isospa
dc.publisherUniversidad Industrial de Santander
dc.publisher.facultyFacultad de Ingenierías Fisicomecánicas
dc.publisher.programIngeniería Industrial
dc.publisher.schoolEscuela de Estudios Industriales y Empresariales
dc.rightshttp://creativecommons.org/licenses/by/4.0/
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.creativecommonsAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)
dc.rights.licenseAttribution-NonCommercial 4.0 International (CC BY-NC 4.0)
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0
dc.subjectPrecios Del Petróleo
dc.subjectModelos Estocásticos
dc.subjectPrevisión
dc.subjectArima
dc.subjectGbm Y Simulación.
dc.subject.keywordOil has become one of the principal actor in the global economy as the main focus of most manufacturing industries and transport
dc.subject.keywordaffecting significantly the dynamics of the economies of the countries where its main economic activity is based on the oil exploitation and industrialization. The constant variability in the price of oil over the time
dc.subject.keywordhas generated the need in a scientific level to search or generate mathematical models to predict short and long term oil prices in a efficiently way. In this research we studied and analyzed the stochastic ARIMA models and Geometric Brownian Motion (GBM) with possible mean reversion and Poisson jumps
dc.subject.keywordin order to compare the effectiveness of each model when making a forecast. Simulations for different periods of time were made on the database in oil prices WTI and BRENT references. It has been concluded in this thesis that the stochastic process ARIMA implemented with an additional stochastic process (ARCH - GARCH) manages to generate a more efficient outcome than the Geometric Brownian Motion in terms of accuracy and volatility. 3
dc.titleModelación del comportamiento de los precios del petróleo mediante modelos estocásticos
dc.title.englishOil Prices, Stochastic Models, Forecasting, Arima, Gbm And Simulation.
dc.type.coarhttp://purl.org/coar/version/c_b1a7d7d4d402bcce
dc.type.hasversionhttp://purl.org/coar/resource_type/c_7a1f
dc.type.localTesis/Trabajo de grado - Monografía - Pregrado
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