Financial modeling of the mean-reverting process in the case of agricultural commodities

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F18%3A78773" target="_blank" >RIV/60460709:41110/18:78773 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Financial modeling of the mean-reverting process in the case of agricultural commodities
Original language description
This paper deals with the financial application of mean reverting volatility trajectory driven by stochastic process. The Ornstein Uhlenbeck model is used for volatility tracking of selected agricultural commodities. The parameters of the model were estimated using the Maximum likelihood function. The main aim of the paper is to determine the influence of unexpected external shocks for instance announcement for investors on the mean reverting process. Two simulation process for corn and wheat commodity futures are run. The results show the statistically confident influence of external shocks. The wheat commodity is most influenced by shocks introduced by strong evidence of mean reversion constant with rapid movements to the mean.
Czech name
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Czech description
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Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Tvrdon, M. (ed.). Proceedings of 11th International Scientific Conference “Karviná Ph.D. Conference on Business and Economics”
ISBN
978-80-7510-322-2
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
8-13
Publisher name
Karviná: Silesian University
Place of publication
Karviná
Event location
Karviná
Event date
Nov 7, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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