The Optimization Hedging Model Based on the Combination Forecast Method

Author

Zhi, Hongyan ; Yang, Zhongyuan

Author_Institution

Coll. of Math. & Comput. Sci., China Univ. of Pet., Dongying, China

fYear

2009

fDate

6-7 June 2009

Firstpage

265

Lastpage

268

Abstract

In this paper, the combination forecast method is presented by using minimizing the Theil-coefficient of the ARCH and GARCH and ARIMA method. The prices of cash and futures are forecasted combination forecast method. The optimal minimum variance hedging ratio is obtained by using the combination forecast results. The contribution is that combination forecast method combines the advantages of the single forecast method, and to avoid the shortcomings of a single forecast method. The predicting precision could be raised, which contribute to the decision making of hedger and enhancing the hedging effectiveness.

Keywords

autoregressive moving average processes; commodity trading; decision making; decision theory; economic forecasting; minimisation; risk analysis; share prices; ARCH; ARIMA; GARCH; Theil coefficient; cash price; combination forecast method; decision making; futures price; minimization; optimal minimum variance hedging ratio model; optimization; risk analysis; single forecast method; Computational intelligence; Economic forecasting; Educational institutions; Electronic commerce; Electronic mail; Mathematical model; Mathematics; Optimization methods; Petroleum; Predictive models; combination forecast; futures; futures hedging; hedge ratio;

fLanguage

English

Publisher

ieee

Conference_Titel

Electronic Commerce and Business Intelligence, 2009. ECBI 2009. International Conference on

Conference_Location

Beijing

Print_ISBN

978-0-7695-3661-3

Type

conf

DOI

10.1109/ECBI.2009.17

Filename

5190453