论文标题
使用高级马尔可夫方法对印度商品市场中基准金属的商品价格进行建模
Modeling the commodity prices of base metals in Indian commodity market using a Higher Order Markovian Approach
论文作者
论文摘要
提出了一种捕获商品价格动态的高级马尔可夫（HOM）模型，以替代马尔可夫模型。特别是，前者模型的顺序被认为是行业对市场信息的延迟。然后，对印度商品市场中铜，铅，镍和锌的价格进行了经验分析。如果铜色迷你，就预测的错误而言，HOM方法的使用始终如一地改善了Markovian方法。除了铝外，考虑的其他碱金属也观察到类似的趋势，这可以归因于19次疫情期间亚洲市场的波动性。
A Higher Order Markovian (HOM) model to capture the dynamics of commodity prices is proposed as an alternative to a Markovian model. In particular, the order of the former model, is taken to be the delay, in the response of the industry, to the market information. This is then empirically analyzed for the prices of Copper Mini and four other bases metals, namely Aluminum, Lead, Nickel and Zinc, in the Indian commodities market. In case of Copper Mini, the usage of the HOM approach consistently offer improvement, over the Markovian approach, in terms of the errors in forecasting. Similar trends were observed for the other base metals considered, with the exception of Aluminum, which can be attributed the volatility in the Asian market during the COVID-19 outbreak.
