Determination ps Stochastic processes by means of the Husrt coefficient for the projection of the commodities in the international market
DOI:
https://doi.org/10.46661/rev.metodoscuant.econ.empresa.8541Keywords:
Stochasticity, Geometric Brownian, Hurst coefficient, CommoditiesAbstract
In this study, the potential relationship between commodity values during the period from 2019 to 2023 was investigated, using the Hurst coefficient as a statistical metric. The results indicated that, generally speaking, the price records exhibited persistence with a coefficient of 0.63, but also revealed a certain degree of randomness. Consequently, a geometric Brownian stochastic process along with Monte Carlo simulation was used to anticipate prices over a one-year horizon in the stock market and, in this way, identify unpredictable fluctuations in each data set. Overall, the simulation results demonstrated a stable average trend despite the random nature of the process, with notable increases in the prices of Brent oil, UK and US copper, and bar steel. . On the other hand, HRC steel prices remained constant, while a significant decrease in natural gas prices was anticipated compared to their average historical values.
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