{"title":"不同木材品种松木价格的动态:随机过程的比较","authors":"R. Munis, J. C. Martins, D. Camargo, D. Simões","doi":"10.19182/bft2022.351.a36392","DOIUrl":null,"url":null,"abstract":"Understanding the dynamics of market prices for Pinus wood is a prerequisite for strategic decisions concerning forest investment plans since, in terms of the market, the exogenous risk to a project depends on timber assortments. The stochastic process that represents the best way of pricing the underlying asset therefore needs to be known. This study set out to compare Fractional Brownian Motion and Geometric Brownian Motion, through econometric tests, to understand the stochastic model that best represents the price behaviour of Pinus wood from planted forests in the state of Santa Catarina, Brazil, for the pricing of the underlying asset and valuation of the real options intrinsic to forest investment projects. The time series of prices, for the period from June 2017 to July 2019, relate to three assortments of Pinus wood used for multiple products. The recommended econometric tests to analyse the time series were for normality of the data, trend, autocorrelation, stationarity and fractional differential estimation. The time series were then modelled by means of stochastic processes in line with the econometric tests. The time series showed normal behaviour and indicated the presence of a positive trend and non-stationarity in the data. In addition, a true long memory was found in all series. Fractional Brownian Motion proved to be the most suitable stochastic process for modelling the prices of three forest timber assortments, given the non-stationary characteristics and true long memory of the time series for Pinus wood prices.","PeriodicalId":55346,"journal":{"name":"Bois et Forets Des Tropiques","volume":"33 1","pages":""},"PeriodicalIF":0.7000,"publicationDate":"2022-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Dynamics of Pinus wood prices for different timber assortments: comparison of stochastic processes\",\"authors\":\"R. Munis, J. C. Martins, D. Camargo, D. Simões\",\"doi\":\"10.19182/bft2022.351.a36392\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Understanding the dynamics of market prices for Pinus wood is a prerequisite for strategic decisions concerning forest investment plans since, in terms of the market, the exogenous risk to a project depends on timber assortments. The stochastic process that represents the best way of pricing the underlying asset therefore needs to be known. This study set out to compare Fractional Brownian Motion and Geometric Brownian Motion, through econometric tests, to understand the stochastic model that best represents the price behaviour of Pinus wood from planted forests in the state of Santa Catarina, Brazil, for the pricing of the underlying asset and valuation of the real options intrinsic to forest investment projects. The time series of prices, for the period from June 2017 to July 2019, relate to three assortments of Pinus wood used for multiple products. The recommended econometric tests to analyse the time series were for normality of the data, trend, autocorrelation, stationarity and fractional differential estimation. The time series were then modelled by means of stochastic processes in line with the econometric tests. The time series showed normal behaviour and indicated the presence of a positive trend and non-stationarity in the data. In addition, a true long memory was found in all series. Fractional Brownian Motion proved to be the most suitable stochastic process for modelling the prices of three forest timber assortments, given the non-stationary characteristics and true long memory of the time series for Pinus wood prices.\",\"PeriodicalId\":55346,\"journal\":{\"name\":\"Bois et Forets Des Tropiques\",\"volume\":\"33 1\",\"pages\":\"\"},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2022-02-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Bois et Forets Des Tropiques\",\"FirstCategoryId\":\"97\",\"ListUrlMain\":\"https://doi.org/10.19182/bft2022.351.a36392\",\"RegionNum\":4,\"RegionCategory\":\"农林科学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"FORESTRY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Bois et Forets Des Tropiques","FirstCategoryId":"97","ListUrlMain":"https://doi.org/10.19182/bft2022.351.a36392","RegionNum":4,"RegionCategory":"农林科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"FORESTRY","Score":null,"Total":0}
Dynamics of Pinus wood prices for different timber assortments: comparison of stochastic processes
Understanding the dynamics of market prices for Pinus wood is a prerequisite for strategic decisions concerning forest investment plans since, in terms of the market, the exogenous risk to a project depends on timber assortments. The stochastic process that represents the best way of pricing the underlying asset therefore needs to be known. This study set out to compare Fractional Brownian Motion and Geometric Brownian Motion, through econometric tests, to understand the stochastic model that best represents the price behaviour of Pinus wood from planted forests in the state of Santa Catarina, Brazil, for the pricing of the underlying asset and valuation of the real options intrinsic to forest investment projects. The time series of prices, for the period from June 2017 to July 2019, relate to three assortments of Pinus wood used for multiple products. The recommended econometric tests to analyse the time series were for normality of the data, trend, autocorrelation, stationarity and fractional differential estimation. The time series were then modelled by means of stochastic processes in line with the econometric tests. The time series showed normal behaviour and indicated the presence of a positive trend and non-stationarity in the data. In addition, a true long memory was found in all series. Fractional Brownian Motion proved to be the most suitable stochastic process for modelling the prices of three forest timber assortments, given the non-stationary characteristics and true long memory of the time series for Pinus wood prices.
期刊介绍:
In 1947, the former Tropical Forest Technical Centre (CTFT), now part of CIRAD, created the journal Bois et Forêts des Tropiques. Since then, it has disseminated knowledge and research results on forests in intertropical and Mediterranean regions to more than sixty countries. The articles, peer evaluated and reviewed, are short, synthetic and accessible to researchers, engineers, technicians, students and decision-makers. They present original, innovative research results, inventions or discoveries. The journal publishes in an international dimension. The topics covered are of general interest and are aimed at an informed international audience.