An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
Abstract In this paper, we examine an application of Ornstein-Uhlenbeck process to commodity pricing in Thailand. Prices of Tapioca Starch, Ribbed Smoke Sheet no. 3, and Thai Hom Mali Rice are investigated. We use three parameter estimation methods: least squares estimation, maximum likelihood estim...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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SpringerOpen
2017-06-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13662-017-1234-y |
| _version_ | 1819115170707800064 |
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| author | Nattiya Chaiyapo Nattakorn Phewchean |
| author_facet | Nattiya Chaiyapo Nattakorn Phewchean |
| author_sort | Nattiya Chaiyapo |
| collection | DOAJ |
| description | Abstract In this paper, we examine an application of Ornstein-Uhlenbeck process to commodity pricing in Thailand. Prices of Tapioca Starch, Ribbed Smoke Sheet no. 3, and Thai Hom Mali Rice are investigated. We use three parameter estimation methods: least squares estimation, maximum likelihood estimation, and jackknife estimation in order to find the best estimation for the model. Jackknife technique is the most appropriate estimation for our commodity pricing model, which provides the least sum-squared error of commodity prices. |
| first_indexed | 2024-12-22T04:56:56Z |
| format | Article |
| id | doaj.art-356fec5a82aa4364bad1b593f5f55dce |
| institution | Directory Open Access Journal |
| issn | 1687-1847 |
| language | English |
| last_indexed | 2024-12-22T04:56:56Z |
| publishDate | 2017-06-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Advances in Difference Equations |
| spelling | doaj.art-356fec5a82aa4364bad1b593f5f55dce2022-12-21T18:38:21ZengSpringerOpenAdvances in Difference Equations1687-18472017-06-012017111010.1186/s13662-017-1234-yAn application of Ornstein-Uhlenbeck process to commodity pricing in ThailandNattiya Chaiyapo0Nattakorn Phewchean1Department of Mathematics, Faculty of Science, Mahidol UniversityDepartment of Mathematics, Faculty of Science, Mahidol UniversityAbstract In this paper, we examine an application of Ornstein-Uhlenbeck process to commodity pricing in Thailand. Prices of Tapioca Starch, Ribbed Smoke Sheet no. 3, and Thai Hom Mali Rice are investigated. We use three parameter estimation methods: least squares estimation, maximum likelihood estimation, and jackknife estimation in order to find the best estimation for the model. Jackknife technique is the most appropriate estimation for our commodity pricing model, which provides the least sum-squared error of commodity prices.http://link.springer.com/article/10.1186/s13662-017-1234-yOrnstein-Uhlenbeck processstochastic processparameter estimationcommodity pricing |
| spellingShingle | Nattiya Chaiyapo Nattakorn Phewchean An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand Advances in Difference Equations Ornstein-Uhlenbeck process stochastic process parameter estimation commodity pricing |
| title | An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand |
| title_full | An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand |
| title_fullStr | An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand |
| title_full_unstemmed | An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand |
| title_short | An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand |
| title_sort | application of ornstein uhlenbeck process to commodity pricing in thailand |
| topic | Ornstein-Uhlenbeck process stochastic process parameter estimation commodity pricing |
| url | http://link.springer.com/article/10.1186/s13662-017-1234-y |
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