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| Author: | Cabral, J. Guimaraes, R. |
| Title: | Dynamic calibration of price-trend parameters for commodity futures trading |
| Journal: | Journal of the Operational Research Society
1994 : AUG, VOL. 45:8, p. 867-877 |
| Index terms: | FORECASTING COMMODITIES PURCHASING |
| Language: | eng |
| Abstract: | This paper addresses the problem of buying commodities through the futures markets and deals specifically with a heuristic rule developed for the scenario described as "purchasing under a deadline". The rule is based on a short-term forecasts produced by Taylor's price-trend model. The authors recommend the continuous CUSUM monitoring of the purchasing results and propose a procedure for synamically calibrating the price-trend and buying parameters. |
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