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Performance of different models in iron ore price prediction during the time of commodity price spike

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  • Kim, Yoochan
  • Ghosh, Apurna
  • Topal, Erkan
  • Chang, Ping

Abstract

Future prediction of commodity price based on available data is very important for mining investors and operators. Commodity prices cointegrate and show Granger causality to and from one another. This research reviewed five different estimation techniques which are Bivariate Non-Linear Regression (BNLR), Multiple Linear Regression (MLR), Multiple Non-Linear Regression (MNLR) as well as logsig and tansig model of Levenberg-Marquardt Artificial Neural Network modelling to simulate the future iron ore price based on 12 other monthly commodity prices and indices including LNG, aluminium, nickel, silver, Australian coal, zinc, gold, oil, tin, copper, lead, and Commodity Price Index (Metals).

Suggested Citation

  • Kim, Yoochan & Ghosh, Apurna & Topal, Erkan & Chang, Ping, 2023. "Performance of different models in iron ore price prediction during the time of commodity price spike," Resources Policy, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006808
    DOI: 10.1016/j.resourpol.2022.103237
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    References listed on IDEAS

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    1. Mai, Ngoc Luan & Topal, Erkan & Erten, Oktay & Sommerville, Bruce, 2019. "A new risk-based optimisation method for the iron ore production scheduling using stochastic integer programming," Resources Policy, Elsevier, vol. 62(C), pages 571-579.
    2. Ma, Yiqun & Wang, Junhao, 2019. "Co-movement between oil, gas, coal, and iron ore prices, the Australian dollar, and the Chinese RMB exchange rates: A copula approach," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    3. Pustov, Alexander & Malanichev, Alexander & Khobotilov, Ilya, 2013. "Long-term iron ore price modeling: Marginal costs vs. incentive price," Resources Policy, Elsevier, vol. 38(4), pages 558-567.
    4. Yoochan Kim & Apurna Ghosh & Erkan Topal & Ping Chang, 2022. "Relationship of iron ore price with other major commodity prices," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 35(2), pages 295-307, June.
    5. Mark Caputo & Tim Robinson & Hao Wang, 2013. "The Relationship between Bulk Commodity and Chinese Steel Prices," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 13-18, September.
    6. Shafiee, Shahriar & Topal, Erkan, 2010. "An overview of global gold market and gold price forecasting," Resources Policy, Elsevier, vol. 35(3), pages 178-189, September.
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    Cited by:

    1. Yoochan Kim & Erkan Topal & Apurna Kumar Ghosh & Mohammad Waqar Ali Asad, 2024. "Investor Behavior in Gold, US Dollars and Cryptocurrency during Global Pandemics," Economies, MDPI, vol. 12(3), pages 1-15, March.

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