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Cortazar, G. and Schwartz E.S. (2003) Implementing a Stochastic Model for Oil Futures Prices. Energy Economics, 25, 215-238.
https://doi.org/10.1016/S0140-9883(02)00096-8

has been cited by the following article:

• TITLE: Mean Reversion in Auction Markets

  AUTHORS: Moon Hoe Lee

  KEYWORDS: Demand and Supply, Commodity Price and Value, Volatility, Demeaned Price, Mean Reversion, First-Order Autoregression, Prediction

  JOURNAL NAME: Journal of Mathematical Finance, Vol.15 No.4, November 13, 2025

  ABSTRACT: Mean reversion is a process that influences commodity prices in auction markets. This process captures price dynamics that the traditional static model of demand and supply cannot fully explain. By accounting for periodic shocks to demand and supply, mean reversion provides a more accurate pricing model under conditions of uncertainty. This article presents empirical evidence that various commodities traded in auction markets exhibit mean reversion in their pricing. This mean reversion is a significant component of total volatility. After accounting for commodity value, the derived volatility pattern aligns with the observed volatility pattern of a commodity.