Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314470 
Title (translated): 
Determination ps Stochastic processes by means of the Husrt coefficient for the projection of the commodities in the international market
Year of Publication: 
2024
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 38 [Year:] 2024 [Pages:] 1-21
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract (Translated): 
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.
Subjects: 
Stochasticity
Geometric Brownian
Hurst coefficient
Commodities
JEL: 
C01
C22
D52
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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