关键词: 行为金融, 国际原油价格波动, 正反馈模型, 投机

Abstract: The price of international crude oil is of significance for the economic steady growth of China. In the angle of behavioral finance, based on not only introducing rational arbitrageur but also relaxing the assumption that the number of positive feedback trader is equal to the rational trader, this paper designs a positive feedback trade model of international crude oil future market which includs four kinds of trader in order that it could reveal the mechanism that rational speculator manipulates the crude oil market and the trade between the rational speculator and other participant leads to the crude oil price volatility. Finally, the paper verifies the conclusions by numerical simulation. The results show that the rational speculator can manipulate the oil price according to the supply-demand change of international crude oil market, but the rational arbitrageur will hedge oil price volatility in opposite direction. Therefore, the number of passive investor becomes a weight which determines oil price, up or down.If the rational speculator dominates the crude oil market, it will further manipulate the oil price in line with the positive feedback effect of the crude oil price volatility which comes from the positive feedback trader and enlarge the crude oil price volatility range at last. Therefore, we can forecast international crude oil price volatility according to the trader’s behavior of the international crude oil futures market.

Key words: behavior financial, international crude oil price volatility, positive feedback model, speculation