Forecasting of commodities prices using a multi-factor PDE model and Kalman filtering

Forecasting of commodities prices using a multi-factor PDE model and Kalman filtering

This study proposes a method for forecasting commodities prices using Schwartz partial differential equation (PDE) and Kalman filtering. The method is applicable to both the single-factor and the multi-factor Schwartz PDE. Using semi-discretisation and the finite differences method, the Schwartz PDE...

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Bibliographic Details
Main Authors: Gerasimos Rigatos, Pierluigi Siano, Taniya Ghosh, Yi Ding
Format: Article
Language:English
Published: Wiley 2018-12-01
Series:IET Cyber-Physical Systems
Subjects:
Kalman filters
partial differential equations
state-space methods
finite difference methods
pricing
commodity trading
matrix algebra
profitability
forecasting theory
Kalman filtering
multifactor Schwartz PDE
finite differences method
commodities trading
multifactor PDE model
Schwartz partial differential equation
state-space description
commodity prices forecasting
single-factor Schwartz PDE
semidiscretisation
linear matrix
m-step ahead predictor
profit maximization
Online Access:https://digital-library.theiet.org/content/journals/10.1049/iet-cps.2018.5064

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https://digital-library.theiet.org/content/journals/10.1049/iet-cps.2018.5064

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