An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand

Advances in Difference Equations

Nattakorn Phewchean¹  Nattiya Chaiyapo² 

[1]Centre of Excellence in Mathematics, Commission on Higher Education, Ministry of Education, Bangkok, Thailand

[2]Department of Mathematics, Faculty of Science, Mahidol University, Bangkok, Thailand

关键词: Ornstein-Uhlenbeck process;    stochastic process;    parameter estimation;    commodity pricing;   

DOI  :  10.1186/s13662-017-1234-y

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

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.

【 授权许可】

CC BY