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Palm oil price model of Indonesia market

Time series models, i.e. AR, ARMA or ARIMA model, are widely used to model the commodities prices.
Such models perform well in term of the price forecast. Another approach, modeling using stochastic differential equation is essential to value derivative, e.g. option on commodities. We study modeling palm oil spot prices traded in Indonesia market by the potential diffusion model, which is close in spirit to a mean-reversion diffusion model, with a more general drift term. Such a model allows to have multiple attraction regions and allows the mean-reversion rate to be a continuous function of the distance to the mean price level. On the basis simulation study, we compare performance of this model to classical models using stochastic differential equation: Geometric Brownian Motion and mean-reversion diffusion. We apply some statistical tests and forecast the future spot prices to investigate performances of those models. Our study shows that the potential diffusion model performs better than the geometric Brownian motion and the mean-reversion diffusion models.

Ketersediaan

Informasi Detail

Judul Seri

No. Panggil

-

Penerbit

Kuala Lumpur, Malaysia : Asian Mathematical Conference., 2009

Deskripsi Fisik

p. 325 - 332

Bahasa

English

ISBN/ISSN

-

Klasifikasi

-

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

STOCHASTIC DIFFERENTIAL EQUATIONS
INDONESIA MARKET
POTENTIAL DIFFUSION MODEL
PALM OIL SPOT PRICE

Info Detail Spesifik

Makalah dipresentasikan pada The 5th Asian Mathematical Conference. Universiti Sains Malaysia (USM), The Malaysian Mathematical Sciences Society (PERSAMA) and Mathematics Departments of Malaysian Public Universities in collaboration with the Ministry of Higher Education. Malaysia, June 22-26, 2009.

Pernyataan Tanggungjawab

Ferry J. Permana, J. Dharma Lesmono, Erwinna Chendra

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