Dynamics of Commodities Prices : Integer and Fractional Models

• Autorzy: David S. A. , Machado J. A. T. , Trevisan L. R. , Inácio Jr. C. M. C. , Lopes A. M.

Identyfikatory

DOI

10.3233/FI-2017-1499

• Języki publikacji: EN

Abstrakty

EN

This paper examines the time series of four important agricultural commodities, namely the soybean, corn, coffee and sugar prices. Time series can exhibit long-range dependence and persistence in their observation. The long memory feature of data is a documented fact and there has been an increasing interest in studying such concepts in the perspective of economics and finance. In this work, we start by analyzing the time series of the four commodities by means of the Fractional Fourier Transform (FrFT) to unveil time-frequency patterns in the data. In a second phase, we apply Auto Regressive Integrated Moving Average (ARIMA) and Auto Regressive Fractionally Integrated Moving Average (ARFIMA) models for obtaining the spot price composition and predict future price. The ARFIMA process is a known class of long memory model, representing a generalization of the ARIMA algorithm. We compare the performances of the ARIMA and the ARFIMA models and we show that the ARFIMA has a superior performance for future price forecasting.

Słowa kluczowe

EN

fractional statistic systems; business; management; fractional Fourier transform; computer modelling; computer simulation

• Wydawca: IOS Press
• Czasopismo: Fundamenta Informaticae
• Rocznik: 2017
• Tom: Vol. 151, nr 1/4
• Strony: 389--408
• Opis fizyczny: Bibliogr. 55 poz., tab., wykr.

Twórcy

autor

David S. A.

• University of São Paulo, Av. Duque de Caxias Norte 225, 13635-900, Brazil

autor

Machado J. A. T.

• Institute of Engineering, Polytechnic of Porto, Rua Dr. António B. de Almeida 431, 4249-015, Porto, Portugal

autor

Trevisan L. R.

• University of Illinois at Urbana-Champaign, 1304 W. Pennsylvania Av. Urbana, IL 61801, USA

autor

Inácio Jr. C. M. C.

• University of São Paulo, Av. Duque de Caxias Norte 225, 13635-900, Brazil

autor

Lopes A. M.

• UISPA - LAETA/INEGI, Faculty of Engineering, University of Porto, Rua Dr. Roberto Frias, 4200-465 Porto, Portugal

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