This study uses a nonlinear agent-based model to examine the impact of speculative behaviors on WTI oil prices since 2000. The purpose is to find the consequences of ＂financialization＂ of the oil market, especially after oil prices exhibited roller-coaster dynamics in recent years. The major conclusions are: (1) A structural break exists during the sample period from 2000/01/04 to 2012/03/27 and oil dynamics can be divided into two distinct periods constituting quite different investment environments. (2) The first period is characterized as a ＂high return, low risk＂ period, while the second is a ＂low return, high risk＂ state. The breakpoint is supported by existing literature which claims that huge flows of index-funds have change the oil market generating increasingly large trading volumes. (3) In the first period, oil price is basically driven by agent behavior. Fundamentalists play a crucial role in market stabilization. Price follows closely to its long-run equilibrium level. (4) In the second period, financial market conditions appear to explain oil price fluctuations. Fundamentalists lose confidence and stop trading when price deviations increase. Chartists' chase-and-sell strategies cause a wider range of surge and slump. Evidence shows that ＂financialization＂ has generated greater speculation in oil and larger departures from fundamental pricing.