Prediction of mineral product price based on mean reversion model

• Autorzy: Huang Shuwei , Ma Zhaoyang , Jin Feng , Zhang Yuansheng

Identyfikatory

DOI

10.24425/gsm.2022.141665

Warianty tytułu

PL

Prognozowanie ceny produktu mineralnego w oparciu o model średniej rewersji

• Języki publikacji: EN

Abstrakty

EN

The mean-reversion model is introduced into the study of mineral product price prediction. The gold price data from January 2018 to December 2021 are selected, and a mean-reverting stochastic process simulation of the gold price was carried out using Monte Carlo simulation (MCS) method. By comparing the statistical results and trend curves of the mean-reversion (MR) model, geometric Brownian motion (GBM) model, time series model and actual price, it is proved that the mean-reversion process is valid in describing the price fluctuation of mineral product. At the same time, by comparing with the traditional prediction methods, the mean-reversion model can quantitatively assess the uncertainty of the predicted price through a set of equal probability stochastic simulation results, so as to provide data support and decision-making basis for the risk analysis of future economy.

PL

W badaniach predykcji cen produktów mineralnych wprowadzono model średniej rewersji. Wybrano dane dotyczące cen złota od stycznia 2018 do grudnia 2021 r., a symulację ceny złota w procesie odwracania średniej przeprowadzono metodą symulacji Monte Carlo (MCS). Porównując wyniki statystyczne i krzywe trendu modelu średniej rewersji (MR), modelu geometrycznego ruchu Browna (GBM), modelu szeregów czasowych i rzeczywistej ceny, udowodniono, że proces średniej rewersji jest prawidłowy w opisie fluktuacji cen na produkt mineralny. Jednocześnie, porównując z tradycyjnymi metodami predykcji, model średniej rewersji może ilościowo oszacować niepewność przewidywanej ceny za pomocą zestawu wyników symulacji stochastycznej równego prawdopodobieństwa, w celu zapewnienia wsparcia danych i podstawy decyzyjnej do analizy ryzyka przyszłej gospodarki.

Słowa kluczowe

EN

mineral product price; mean reversion model; Monte Carlo simulation; uncertainty analysis

PL

cena produktu mineralnego; model średniej rewersji; symulacja Monte Carlo; analiza niepewności

• Wydawca: Instytut Gospodarki Surowcami Mineralnymi i Energią PAN ; Komitet Zrównoważonej Gospodarki Surowcami Mineralnymi PAN
• Czasopismo: Gospodarka Surowcami Mineralnymi
• Rocznik: 2022
• Tom: T. 38, z. 2
• Strony: 61--75
• Opis fizyczny: Bibliogr. 22 poz., tab., wykr.

Twórcy

autor

Huang Shuwei

• BGRIMM Technology Group; Beijing Key Laboratory of Nonferrous Intelligent Mining Technology
• BGRIMM Intelligent Technology Co. Ltd, China

• https://orcid.org/0000-0003-1598-5589

autor

Ma Zhaoyang

• BGRIMM Technology Group, China

autor

Jin Feng

• BGRIMM Intelligent Technology Co. Ltd, China

autor

Zhang Yuansheng

• BGRIMM Technology Group, China

Bibliografia

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