Download or read book Forecasting Commodity Markets written by Julian Roche and published by McGraw-Hill. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Julian Roche explains every major method of forecasting markets; fundamental analysis, technical analysis, & econometric analysis. Roche discusses both the underlying theory & current application of each method, as well as pricing information on data sources & software. Moreover, the book evaluates the advantages & disadvantages of each approach & demonstrate how to combine approaches to produce an optimum forecasting method. Specific topics include: The history of fundamental, technical, & econometric analysis; Forecasting theories & applications; Accuracy of forecasting methods; The role of forecasting in trading decisions; The future of forecasting.
Download or read book Modeling and Forecasting Primary Commodity Prices written by Walter C. Labys and published by Routledge. This book was released on 2017-03-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Download or read book Forecasting Commodity Prices written by Harry Jiler and published by . This book was released on 1975 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides background to help forecasting price movements in twenty different commodity future markets and studies the price forecasting with the aid of charts.
Download or read book Commodity Prices and Markets written by Takatoshi Ito and published by University of Chicago Press. This book was released on 2011-03 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
Download or read book Commodity Models for Forecasting and Policy Analysis written by Walter C. Labys and published by Routledge. This book was released on 1984 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commodity Models for Forecasting and Policy Analysis written by Walter C. Labys and published by Taylor & Francis. This book was released on 2024-02-01 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1984 this book remains as relevant as when it was first published. At that time the oil crises of the 1970s and the growing international debt burden highlighted the extent to which events in primary commodity markets continue to influence the economies of developing and industrialized economies alike. Commodity modelling has become a valuable tool in efforts to predict and understand the behaviour of commodity markets and thereby reduce their fluctuations. This book provides an overview of the nature of the different types of commodity model as well as their diverse applications. In non-technical language the reader is introduced to the underlying modelling methodologies, including their advantages, limitations and commodity specific implications. The book will be of interest to commodity economists, traders and analysts, economic planners and those involved in agricultural, mineral and energy modelling.
Download or read book Rational Expectations and Commodity Price Forecasts written by Boum-Jong Choe and published by World Bank Publications. This book was released on with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting commodity prices using long short term memory neural networks written by Ly, Racine and published by Intl Food Policy Res Inst. This book was released on 2021-02-10 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies a recurrent neural network (RNN) method to forecast cotton and oil prices. We show how these new tools from machine learning, particularly Long-Short Term Memory (LSTM) models, complement traditional methods. Our results show that machine learning methods fit reasonably well with the data but do not outperform systematically classical methods such as Autoregressive Integrated Moving Average (ARIMA) or the naïve models in terms of out of sample forecasts. However, averaging the forecasts from the two type of models provide better results compared to either method. Compared to the ARIMA and the LSTM, the Root Mean Squared Error (RMSE) of the average forecast was 0.21 and 21.49 percent lower, respectively, for cotton. For oil, the forecast averaging does not provide improvements in terms of RMSE. We suggest using a forecast averaging method and extending our analysis to a wide range of commodity prices.
Download or read book Commodity Price Forecasts and Futures Prices written by Boum-Jong Choe and published by World Bank Publications. This book was released on 1990 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Commodity Prices written by Harry Jiler and published by . This book was released on 1980 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do Commodity Futures Help Forecast Spot Prices written by Mr.David A Reichsfeld and published by International Monetary Fund. This book was released on 2011-11-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures does not depend on the slope of the futures curve, in contrast to the predictions of well-known models of commodity markets. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting doubt on aspersions that uninformed investors participating during bull markets impede the price discovery process.
Download or read book Methods to Analyse Agricultural Commodity Price Volatility written by Isabelle Piot-Lepetit and published by Springer Science & Business Media. This book was released on 2011-06-10 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.
Download or read book Rational Expectations and Commodity Price Forecasts written by Boum Jong Choe and published by . This book was released on 1990 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasts for the primary commodity market by the Bank's International Commodity Markets Division - with significant but not excessive adaptation to spot- price movements - probably are reasonable, optimal short- term forecasts, superior to "naive" forecasts or futures prices.
Download or read book Agricultural Commodity Markets and Trade written by Alexander Sarris and published by Edward Elgar Publishing. This book was released on 2006-01-27 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book argues that the viability of many observed market and non-market interventions in agricultural products worldwide depends considerably on the underlying behaviour of the relevant commodity markets. Many of these policies have had distortive impacts, resulting in much discussion and controversy in the context of the World Trade Organization (WTO) Doha Round of trade negotiations.
Download or read book International Commodity Market Models and Policy Analysis written by O. Güvenen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: o. Guvenen, University of Paris IX-Dauphine The aim of this publication is to present recent developments in international com modity market model building and policy analysis. This book is based mainly on the research presented at the XlIth International Conference organised by the Applied Econometric Association (AEA) which was held at the University of Zaragoza in Spain. This conference would not have been possible with out the cooperation of the Department of Econometrics of the University of Zaragoza and its Chairman A.A. Grasa. I would like to express my thanks to all contributors. I am grateful to J.H.P. Paelinck, J.P. Ancot, A.J. Hughes Hallett and H. Serbat for their constructive contributions and comments concerning the structure of the book. vii INTRODUCTION o. Guvenen The challenge of increasing complexity and global interdependence at the world level necessitates new modelling approaches and policy analysis at the macroeconomic level, and for commodities. The evaluation of economic modelling.follows the evolution of international economic phenomena. In that interdependent context there is a growing need for forecasting and simulation tools in the analysis of international primary com modity markets.
Download or read book Recent Developments in Commodity Modeling written by Walter C. Labys and published by World Bank Publications. This book was released on 1988 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: A review of the state of the art of Bank commodity modeling for forecasting and analysis of supplies, demand, and prices.
Download or read book Forecasting Volatility in Agricultural Commodities Markets Considering Market Structural Breaks written by Mario Amado Ortez Amador and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This decade has seen movements in commodity futures markets never seen before. There are many factors that have intensified price movements and volatility behavior. Those factors likely altering supply and demand include governmental policy within and outside of the U.S, weather shocks, geopolitical conflicts, food safety concerns etc. Whatever the reasons are for price movements it is clear that the volatility behavior in commodity markets constantly change, and risk managers need to use current and efficient tools to mitigate price risk. This study identified market structural breaks of realized volatility in corn, wheat, soybeans, live cattle, feeder cattle and lean hogs futures markets. Furthermore, this study analyzes the forecasting performance of implied volatility, historical volatility, a composite approach and a naive approach as forecasters of realized volatility. The forecasting performance of these methods was analyzed in the full period of time of our weekly data from January 1995 to April 2014 and in each identified market regime for each commodity. Previous research has analyzed forecasting performance of implied volatility, a time series alternative and a composite method. However, to the best of my knowledge, they have not worried about market structural breaks in the data that might influence the performance of the mentioned forecasting methods in different periods of time. Overall, results indicate that indeed there are multiple market structural breaks present in the volatility datasets across all six commodities. We found differences in the forecasting performance of the analyzed methods when individual market regimes were analyzed. There seems to be evidence that corroborates the idea in the literature about the superiority of implied volatility over a historical volatility, a composite approach and a naive approach. Additionally, implied volatility encompassed all the information contained in the historical volatility and the naive measure across each identified market regime in all six commodities. Our results show that when both implied volatility and historical volatility are available, the benefit of combining those measures into a composite forecasting approach is very limited. Our results hold true for a short term 1 week ahead realized volatility forecast. It would be of interest to see how results vary for longer forecasting time horizons.
