{"title":"特钢市场的随机分析:特钢价格的建模","authors":"S. Aihara, A. Bagchi","doi":"10.2139/ssrn.2780780","DOIUrl":null,"url":null,"abstract":"We propose the mathematical model of the price movement for the carbon steel and ferrous scrap from the market data. First, we check two models for the ferrous scrap data, i.e., one is a linear Gaussian model, and the other is a lognormal model. Secondly, the mathematical model of the carbon steel price is established by a compound Poisson process with the primary factor which comes from the ferrous scrap price movement. Finally, by using the established model, the futures price values are predicted.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Stochastic Analysis of Special Steel Market: Modeling of Special Steel Price\",\"authors\":\"S. Aihara, A. Bagchi\",\"doi\":\"10.2139/ssrn.2780780\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We propose the mathematical model of the price movement for the carbon steel and ferrous scrap from the market data. First, we check two models for the ferrous scrap data, i.e., one is a linear Gaussian model, and the other is a lognormal model. Secondly, the mathematical model of the carbon steel price is established by a compound Poisson process with the primary factor which comes from the ferrous scrap price movement. Finally, by using the established model, the futures price values are predicted.\",\"PeriodicalId\":365755,\"journal\":{\"name\":\"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)\",\"volume\":\"28 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-05-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2780780\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2780780","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Stochastic Analysis of Special Steel Market: Modeling of Special Steel Price
We propose the mathematical model of the price movement for the carbon steel and ferrous scrap from the market data. First, we check two models for the ferrous scrap data, i.e., one is a linear Gaussian model, and the other is a lognormal model. Secondly, the mathematical model of the carbon steel price is established by a compound Poisson process with the primary factor which comes from the ferrous scrap price movement. Finally, by using the established model, the futures price values are predicted.
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