Accession Number:

ADA165144

Title:

Profitability of Using Forecasting Techniques in the Commodities Market

Descriptive Note:

Master's thesisxb

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA

Personal Author(s):

Report Date:

1985-12-01

Pagination or Media Count:

81.0

Abstract:

Box and Jenkins Autoregressive Integrated Moving Average ARIMA forecasts for commodity prices one year into the future are compared to the futures market for accuracy. The ARIMA forecasts were nearly as accurate as the futures prices for predicting commodity prices. On the average, the futures markets Mean Absolute Percentage Error MAPE was approximately one percent less than that of the ARIMA models. By incorporating the ARIMA forecasts with the futures prices, it was concluded that a more profitable strategy for purchasing commodities could be obtained .This thesis showed that an average percentage reduction in purchasing costs of approximately twenty percent resulted when using the policy of buying commodities through futures only when the futures price was less than the ARIMA forecast price.

Subject Categories:

  • Economics and Cost Analysis

Distribution Statement:

APPROVED FOR PUBLIC RELEASE