بررسی کارایی و پیش‌بینی‌پذیری کالاهای صنعتی با رویکردهای بنیادین و تکنیکال

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناس ارشد، دانشگاه اصفهان.

2 استادیار، دانشگاه اصفهان.

چکیده

هدف این پژوهش، بررسی پیش­بینی‌پذیری قیمت سرب و کارایی این بازار در سطح ضعیف و معرفی یک الگوی مناسب برای پیش‌بینی قیمت سرب در بازار جهانی است. به‌این‌منظور مجموعه ­ای از روش‌های خطی و غیرخطی در دو رویکرد کلی تکنیکال و بنیادین استفاده شده‌‌ است. بررسی کارایی بازار سرب در سطح ضعیف نشان می‌دهد که این بازار در این سطح نیز کارا نیست و امکان پیش‌بینی قیمت وجود دارد. داده‌های استفاده‌شده در این پژوهش به‌‌صورت هفتگی جمع‌آوری شده و شامل بازه زمانی هفته اول 2005 الی هفته آخر 2015 است. این داده‌ها از سایت‌های مختلف، از‌جمله سایت LME، USGS و ILZSG جمع‌آوری شده‌ است. یافته‌های این پژوهش نشان می‌دهد که در رویکرد تکنیکال، مدل شبکه عصبی مصنوعی GMDH ترکیب‌شده با الگوریتم ژنتیک بر اساس معیارهایِ میانگین درصد خطای مطلق (MAPE) و جذر میانگین مجذور خطا (RMSE) دارای عملکرد بهتری نسبت به مدل‌های دیگر است؛ همچنین در رویکرد بنیادین بر اساس معیارهای خطای پیش‌بینی، شبکه عصبی مصنوعی GMDH بهترین عملکرد را داشته است. پیش‌بینی‌پذیری تغییرات قیمت سرب در بازار با الگوهای تکنیکال، نشان‌دهنده کارایی بازار در سطح ضعیف ‌است.

کلیدواژه‌ها

عنوان مقاله [English]

The Efficinecy and Predictability of Industrial Commodities using Fundamental and Technical Approaches

نویسندگان [English]

  • Somayeh Rafei 1
  • Majid Esmaelian 2
  • Mahmood Botshekan 2
1 M.A., Esfahan University.
2 Assistant Professor, Esfahan University.
چکیده [English]

This study examines the week-form efficiency and predictability of lead market using both technical and fundamental approaches and tries to find the best method to be used for predicting the lead price. To this end, we first test the week-form efficiency and show that the time series of prices does not follow a random walk, so we can conclude that the week form information efficiency does not hold in the lead market and the lead price is predictable. Then a range of linear and non-linear methods have been used to peredit lead price. The data for lead price and fundamental factors are weakly observations over the first week of 2005 up to the last week of 2015 and has been gathered using a variety of resources including LME, SGS, ILZSG, FRED websites. The results show that in the technical approach, the hybrid GMDH and genetic algorithm model is the best model in terms of the root mean square error (RMSE) and mean absolute percentage error (MAPE).  In the fundamental approach, two stage least-square is the best model in terms of RMSE and MAPE. As the market is not efficient, the next question is if the market participant can apply investment strategies to exploit the peredictability in this market in their trades. The question may be investigated by future reaseach.

کلیدواژه‌ها [English]

  • Week form Market Efficiency
  • Group Method of Data Handling (GMDH)
  • Multi Layer Perceptron Neural Network (MLP)
  • Genetic Algorithm (GA)
  • Fundamental Analysis
  • Technical Analysis

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