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Prevision des prix a terme du cacao et modeles ARMA non-lineaires

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Author Info
Bolgot, S.
Terraza, M.
Abstract

Cet article examine l'evolution a court terme des cours du cacao sur le marche de New York. Nous essayons d'etablir des previsions hors echantillon en utilisant une modelisation non lineaire de type reseaux de neurones. Nous examinons aussi l'impact des volumes de transactions, de la volatilite ainsi que les positions ouvertes sur la qualite des previsions. Les modeles proposes sont compares a la marche aleatoire et aux modeles ARIMA lineaires de Box-Jenkins. Nous constatons la superiorite des modeles non lineaires a prevoir ce type de chroniques.

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Publisher Info
Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 99b02.

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Length: 16 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:aixmeq:99b02

Contact details of provider:
Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
Phone: 04.91.14.07.70
Fax: 04.91.90.02.27
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Web page: http://www.vcharite.univ-mrs.fr/GREQAM/
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Related research
Keywords: PREVISIONS ; SERIES TEMPORELLES ; MODELES ECONOMIQUES ; ECONOMETRIE;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade

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This page was last updated on 2009-12-16.

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