scholarly journals Gold Price Forecasting using Box-Jenkins Method

2019 ◽  
Vol 1 (3) ◽  
pp. 15-27
Author(s):  
Nur Atikah Khalid ◽  
Nurfadhlina Abdul Halim
Keyword(s):  
Time Series ◽  
Financial Crisis ◽  
Time Series Analysis ◽  
Commodity Prices ◽  
Commodity Price ◽  
Percentage Error ◽  
Price Forecasting ◽  
Analysis Method ◽  
Current Trends ◽  
Future Value

In general, the nature of gold that acts as a hedge against inflation and its stable price over the course of the financial crisis has made it a unique commodity. Price forecasts are a must for gold producers, investors and central bank to know the current trends in gold prices. Forecasting the future value of a variable is often done with time series analysis method. This study was conducted to determine the best model for forecasting gold commodity prices as well as forecasting world gold commodity prices in 2018 using Box-Jenkins approach. The data used in this study was obtained from Investing.com from 2015 until 2017. This study shows that ARIMA (1,1,1) is the best model to predict gold commodity prices based on Mean Absolute Percentage Error (MAPE). MAPE value for ARIMA (1,1,1) is 0.02%, where this value proves that forecasting using ARIMA (1,1,1) is the best forecasting because MAPE value is less than 10%.

Forecasting based on spectral time series analysis: prediction of the Aurubis stock price

2020 ◽  
Vol 17 (4) ◽  
pp. 215-227
Author(s):  
Julia Babirath ◽  
Karel Malec ◽  
Rainer Schmitl ◽  
Kamil Maitah ◽  
Mansoor Maitah
Keyword(s):  
Time Series ◽  
Risk Management ◽  
Time Series Analysis ◽  
Wiener Process ◽  
Stock Price ◽  
Percentage Error ◽  
Portfolio Performance ◽  
Stock Price Prediction ◽  
Series Analysis ◽  
Augmented Dickey Fuller

The attempt to predict stock price movements has occupied investors ever since. Reliable forecasts are a basis for investment management, and improved forecasting results lead to enhanced portfolio performance and sound risk management. While forecasting using the Wiener process has received great attention in the literature, spectral time series analysis has been disregarded in this respect. The paper’s main objective is to evaluate whether spectral time series analysis can produce reliable forecasts of the Aurubis stock price. Aurubis poses a suitable candidate for an investor’s portfolio due to its sound economic and financial situation and the steady dividend policy. Additionally, reliable management contributes to making Aurubis an investment opportunity. To judge if the achieved forecast results can be considered satisfactory, they are compared against the simulation results of a Wiener process. After de-trending the time series using an Augmented Dickey-Fuller test, the residuals were compartmentalized into sine and cosine functions. The frequencies, amplitude, and phase were obtained using the Fast Fourier transform. The mean absolute percentage error measured the accuracy of the stock price prediction, and the results showed that the spectral analysis was able to deliver superior results when comparing the simulation using a Wiener process. Hence, spectral time series can enhance stock price forecasts and consequently improve risk management.

Recession and risk of suicide in Denmark during the 2009 global financial crisis: an ecological register-based study

2021 ◽  
pp. 140349482110132
Author(s):  
Agnieszka Konieczna ◽  
Sarah Grube Jakobsen ◽  
Christina Petrea Larsen ◽  
Erik Christiansen
Keyword(s):  
Time Series ◽  
Financial Crisis ◽  
Time Series Analysis ◽  
Suicide Rate ◽  
Global Financial Crisis ◽  
Interrupted Time Series ◽  
Interrupted Time Series Analysis ◽  
Series Analysis ◽  
Prevention Programmes ◽  
The Impact

Aim: The aim of this study is to analyse the potential impact from the financial crisis (onset in 2009) on suicide rates in Denmark. The hypothesis is that the global financial crisis raised unemployment which leads to raising the suicide rate in Denmark and that the impact is most prominent in men. Method: This study used an ecological study design, including register data from 2001 until 2016 on unemployment, suicide, gender and calendar time which was analysed using Poisson regression models and interrupted time series analysis. Results: The correlation between unemployment and suicide rates was positive in the period and statistically significant for all, but at a moderate level. A dichotomised version of time (calendar year) showed a significant reduction in the suicide rate for women (incidence rate ratio 0.87, P=0.002). Interrupted time series analysis showed a significant decreasing trend for the overall suicide rate and for men in the pre-recession period, which in both cases stagnated after the onset of recession in 2009. The difference between the genders’ suicide rate changed significantly at the onset of recession, as the rate for men increased and the rate for women decreased. Discussion: The Danish social welfare model might have prevented social disintegration and suicide among unemployed, and suicide prevention programmes might have prevented deaths among unemployed and mentally ill individuals. Conclusions: We found some indications for gender-specific differences from the impact of the financial crises on the suicide rate. We recommend that men should be specifically targeted for appropriate prevention programmes during periods of economic downturn.

Time Series Analysis for the COMEX Gold Spot Price Forecasting by Using NARX DE/SVR and DE/GPR Techniques

2021 ◽  
pp. 145-154
Author(s):  
Esperanza García-Gonzalo ◽  
Paulino José García Nieto ◽  
Gregorio Fidalgo Valverde ◽  
Pedro Riesgo Fernández ◽  
Fernando Sánchez Lasheras
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Spot Price ◽  
Price Forecasting ◽  
Series Analysis

scholarly journals Prediction Methods for Routine Maintenance Costs of a Reinforced Concrete Beam Bridge Based on Panel Data

2019 ◽  
Vol 2019 ◽  
pp. 1-12 ◽  
Author(s):  
Xiaoli Shi ◽  
Bingbing Zhao ◽  
Yuling Yao ◽  
Feng Wang
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Concrete Beam ◽  
Reinforced Concrete Beam ◽  
Maintenance Cost ◽  
Analysis Method ◽  
Series Analysis ◽  
The Cost ◽  
Beam Bridge ◽  
Physical Engineering

In order to make informed decisions on routine maintenance of bridges of expressways, the hierarchical regression analysis method was used to quantify factors influencing routine maintenance cost. Two calculation models for routine maintenance cost based on linear regression and time-series analysis were proposed. The results indicate that the logarithm of the historical routine maintenance cost is the dependent variable and the bridge age is the independent variable. The linear regression analysis was used to obtain a cost prediction model for routine maintenance of a beam bridge, which was combined with the quantity and price, and verified by a physical engineering example. In order to cope with the cost changes and future demands brought about by the emergence of new maintenance technologies, the time-series analysis method was used to obtain a model to predict the engineering quantities for the routine maintenance of a bridge based on standardized minor repair engineering quantities. Taking into account the actual cost of the minor repair project as well as the time-series analysis’ sample size demands, the annual engineering quantity was randomly decomposed into four quarterly data quantities, and the time-series analysis result was verified by physical engineering. These results can improve the calculation accuracy of the routine maintenance costs of reinforced concrete beam bridges. Furthermore, it can have a certain application value for improving the cost measurement module of bridge maintenance management systems.

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