...Forecasting Gold Price, using linear regression model and ARIMA DIANE MAHAMEDOU Department of Economics, Business and Finance, Brooklyn College, 2900 Bedford Avenue Brooklyn, N.Y. 11210, USA Instructor:Prof. Yusheng Peng Abstract: Forecasting is a function in management to assist decision making. Forecasting arises when you need to estimate future unknown situations, such price of commodities, GDP, unemployment rate etc, for the coming period. We can’t accurately predict without referring time series estimation. Gold is a precious yellow commodity once used as money. Illegal couple years ago, now once again is accepted as a potential currency, because of the falling of dollar against the Euro and also the rising of uncertainty in our geopolitical environment. Objective of this study is to develop a forecasting model for predicting gold prices based on two currency price movements and the oil price movements. Following the melt-down of US dollars, investors are putting their money into gold because gold plays an important role as a stabilizing influence for investment portfolios. With the increasing demand of the Gold around the world, we have fund necessary to develop a linear regression model that reflects the structure and pattern of gold market and forecast movement of gold price. The most appropriate approach to the understanding of gold prices is the multiple linear regression (MLR) models. MLR is a study on the relationship between a single dependent variable and one...
Words: 3877 - Pages: 16
...FORECASTING - a method for translating past experience into estimates of the future. Forecasting is the process of making statements about events whose actual outcomes (typically) have not yet been observed. A commonplace example might be estimation of the expected value for some variable of interest at some specified future date. Prediction is a similar, but more general term. Both might refer to formal statistical methods employing time series, cross-sectional or longitudinal data, or alternatively to less formal judgemental methods. Usage can differ between areas of application: for example in hydrology, the terms "forecast" and "forecasting" are sometimes reserved for estimates of values at certain specific future times, while the term "prediction" is used for more general estimates, such as the number of times floods will occur over a long period. Risk and uncertainty are central to forecasting and prediction; it is generally considered good practice to indicate the degree of uncertainty attaching to forecasts. The process of climate change and increasing energy prices has led to the usage of Egain Forecasting of buildings. The method uses Forecasting to reduce the energy needed to heat the building, thus reducing the emission of greenhouse gases. Forecasting is used in the practice of Customer Demand Planning in every day business forecasting for manufacturing companies. The discipline of demand planning, also sometimes referred to as supply chain forecasting, embraces...
Words: 3665 - Pages: 15
...International Journal of Applied Business and Economic Research, Vol. 9, No. 2, (2011): 145-165 STUDY ON DYNAMIC RELATIONSHIP AMONG GOLD PRICE, OIL PRICE, EXCHANGE RATE AND STOCK MARKET RETURNS K. S. Sujit1 and B. Rajesh Kumar2 Abstract: The dynamic and complex relationship among economic variables has attracted the researchers, policy makers and business people alike. This study is an attempt to test the dynamic relationship among gold price, stock returns, exchange rate and oil price. All these variables have witnessed significant changes over time and hence, it is absolutely necessary to validate the relationship periodically. This study takes daily data from 2nd January 1998 to 5th June 2011, constituting 3485 observations. Using techniques of time series the study tried to capture dynamic and stable relationship among these variables using vector autoregressive and cointegration technique. The results show that exchange rate is highly affected by changes in other variables. However, stock market has fewer roles in affecting the exchange rate. In this study we tested two models and one model suggests that there is weak long term relationship among variables. JEL classification: C22; E3; Keywords: Unit root tests; granger causality test, Cointegration; Vector auto regression (VAR) INTRODUCTION Gold was one of the first metals humans excavated. Gold as an asset has a hybrid nature: it is a commodity used in many industries but also it has maintained throughout history a unique...
Words: 9171 - Pages: 37
...versa); second, that the marginal utility of a larger-sized unit is greater than the marginal utility of a smaller-sized unit (and vice versa). What is defined as an increase in total production expense resulting from one more unit of output? Marginal Cost What is a change to the total revenue resulting from the sale of one more unit of output in a perfectly competitive firm? Marginal Revenue Which economic principle describes the imbalance between what people want and what can be produced? Scarcity ***If a company decided to make more of A it must make less of B, what is this? Resource cost or opportunity cost? When the price is increased from $30 to $40, what will happen to the quantity demanded of the good? Quantity demanded will decrease Management is concerned that a new product just released has generated demand for only 5,000 units. The price of the product is set at $600. According to the law of demand, what must be done to increase the...
Words: 2228 - Pages: 9
...Using Neural Networks to Forecast Stock Market Prices Abstract This paper is a survey on the application of neural networks in forecasting stock market prices. With their ability to discover patterns in nonlinear and chaotic systems, neural networks offer the ability to predict market directions more accurately than current techniques. Common market analysis techniques such as technical analysis, fundamental analysis, and regression are discussed and compared with neural network performance. Also, the Efficient Market Hypothesis (EMH) is presented and contrasted with chaos theory and neural networks. This paper refutes the EMH based on previous neural network work. Finally, future directions for applying neural networks to the financial markets are discussed. 1 Introduction From the beginning of time it has been man’s common goal to make his life easier. The prevailing notion in society is that wealth brings comfort and luxury, so it is not surprising that there has been so much work done on ways to predict the markets. Various technical, fundamental, and statistical indicators have been proposed and used with varying results. However, no one technique or combination of techniques has been successful enough to consistently "beat the market". With the development of neural networks, researchers and investors are hoping that the market mysteries can be unraveled. This paper is a survey of current market forecasting techniques with an emphasis on why they are insufficient...
Words: 6887 - Pages: 28
...BooK 1 ETHICAL AND PROFESSIONAL STANDARD S, QuANTITATIVE METHODS, AND EcoNOMics - Readings and Learning Outcome Statements .......................................................... 6 Study Session 1 - Ethical and Professional Standards ............................................ 13 Study Session 2 - Ethical and Professional Standards: Application Self-Test - Ethical and Professional Standards ....................... 110 128 138 256 262 339 344 349 358 ..................................................... Study Session 3 - Quantitative Methods for Valuation Self-Test - Quantitative Methods for Valuation Study Session 4 - Economics for Valuation Self-Test - Economics for Valuation Formulas ........................................ ................................................... ......................................................... .................................................................... ............................................................................................................ Appendices Index ........................................................................................................ ................................................................................................................. SCHWESERNOTES™ 2013 CFA LEVEL II BOOK 1: ETHICAL AND PROFESSIONAL STANDARDS, QUANTITATIVE METHODS, AND ECONOMICS ©20 12 Kaplan, Inc. All rights reserved. Published in 20 12 by...
Words: 90434 - Pages: 362
...Unit 1 Concepts of Managerial Economics Learning Outcome After going through this unit, you will be able to: • • • • Explain succinctly the meaning and definition of managerial economics Elucidate on the characteristics and scope of managerial economics Describe the techniques of managerial economics Explain the application of managerial economics in various aspects of decision making • Explicate the application of managerial economics in marginal analysis and optimisation Time Required to Complete the unit 1. 2. 1st Reading: It will need 3 Hrs for reading a unit 2nd Reading with understanding: It will need 4 Hrs for reading and understanding a unit 3. 4. 5. Self Assessment: It will need 3 Hrs for reading and understanding a unit Assignment: It will need 2 Hrs for completing an assignment Revision and Further Reading: It is a continuous process Content Map 1.1 1.2 Introduction Concept of Managerial Economics 1.2.1 Meaning of Managerial Economics 1.2.2 Definitions of Managerial Economics Managerial Economics 1 1.2.3 Characteristics of Managerial Economics 1.2.4 Scope of Managerial Economics 1.2.5 Why Managers Need to Know Economics? 1.3 1.4 Techniques of Managerial Economics Managerial Economics - Its application in Marginal Analysis and Optimisation 1.4.1 1.4.2 1.5 1.6 1.7 Application of Managerial Economics Tools of Decision Science and Managerial Economics Summary Self Assessment Test Further Reading 2 Managerial Economics 1.1 Introduction ...
Words: 35678 - Pages: 143
...wanted us to bend over he'd put diamonds on the floor Joan Rivers Contents Acknowledgements 3 Executive summary 7 I Introduction 10 Ground for discussion 10 Objectives 10 Methodology 11 II Literature review and hypothesis development 12 Overview 12 Introduction 12 History of diamonds 12 Industry structure 13 DeBeers cartel 15 Diamond valuation 16 Diamond valuation process 16 Determinants of diamond prices 18 Diamond as an investment 19 Types of investment 19 Problems associated with investing in diamonds 20 Benefits associated with investing in diamonds 20 Alternatives to investing in diamonds 23 Hypothesis development 25 III Methodology 26 Data collection 26 Primary research 26 Secondary research 27 Methodology 28 Descriptive statistics 28 Regression analysis 28 Variables 29 Limitations and assumptions 30 IV Analysis and results 32 Interview results 32 Summary statistics 36 Explanation of variables 36 Descriptive statistics 38 Correlation 44 Regression analysis 46 V Conclusions and recommendations 49 References 52 Appendix 56...
Words: 19903 - Pages: 80
...Forecasting and Analyzing World Commodity Prices René Lalonde* Principal Researcher International Department Bank of Canada Zhenhua Zhu Economist Research Department Bank of Canada October 18, 2002 Frédérick Demers** Economist Research Department Bank of Canada Abstract This paper develops simple econometric models to analyze and forecast three components of the Bank of Canada commodity price index (BCPI), namely non-energy commodity prices (BCNE), the West Texas Intermediate crude oil price (WTI), and other energy prices. In the paper, we present different methodologies to identify transitory and permanent components of movements in these prices. A structural vector autoregressive (SVAR) model is used for real BCNE prices, a multiple structural-break technique is employed for real crude oil prices, and an errorcorrection model is constructed for real prices of other energy components. Then we use these transitory and permanent components to develop forecasting models. We assess our models’ performance in various aspects, and our main results indicate: (a) for real BCNE prices, most of the short-run variation is attributed to demand shocks, (b) the world economic activity and real U.S. dollar effective exchange rate explain much of the cyclical variation of real BCNE prices, (c) real crude oil prices have two structural breaks over the sample period, and their link with the world economic activity is strongest in the most recent regime, (d) real prices of other energy components...
Words: 9822 - Pages: 40
...Second Year - Third Semester 3.0.1 International Business - University Assessment 100 Marks Course Content 1. Overview of the International Business Process 2. PEST factors affecting International Business 3. Government influence on trade 4. International Trade Theories 5. FDI 6. Country Evaluation and Selection 7. Collaborative Strategies 8. International Marketing 9. International Trade Agreements 10. International Trade Organizations 11. Forex 12. International HR Strategies 13. International Diplomacy Reference Text 1. International Business – Daniels and Radebough 2. International Business – Sundaram and Black 3. International Business – Roebuck and Simon 4. International Business – Charles Hill 5. International Business – Subba Rao 3.0.2 Strategic management 100 Marks Course Content 1. Strategic Management Process: Vision, Mission, Goal, Philosophy, Policies of an Organization. 2. Strategy, Strategy as planned action, Its importance, Process and advantages of planning Strategic v/s Operational Planning. 3. Decision making and problem solving, Categories of problems, Problem solving skill, Group decision making, Phases indecision making. 4. Communication, Commitment and performance, Role of the leader, Manager v/s Leader, Leadership styles. 5. Conventional Strategic Management v/s Unconventional Strategic Management, The differences, Changed Circumstance 6. Growth Accelerators: Business Web, Market Power, Learning based. 7. Management Control, Elements,...
Words: 13742 - Pages: 55
...languages. But widespread availability of statistical package software has changed the reality to some extent. Now more emphasis is given on the application of the techniques to solve the business problems. So there is a need to understand the meaning of the statistical procedures. This book has been written to cater that need. In this book, all the necessary concepts have been explained keeping the business problem in mind. Also, to remove the apathy for statistics, use of mathematical expressions have been limited. That doesn‘t imply that we don‘t have to study the mathematics part. The intention is to put the substance over matter. As the students get accustomed to these statistical concepts, they can go for further investigations using various mathematical and statistical techniques. A list of suggested books and links have been given in the appendix. This book is directly related to the instructor‘s presentation. So it is highly advised that students should go through this material at the end of each class. As for general reading, the reader is advised to go according to the chapters. Chapters have been arranged in the order of higher complexity. So the initial chapters are very important. In this book, the statistical procedures have been implemented on SAS. The explanations of the codes have been from the perspective of a data modeler. For the perspective of a programmer, the students are advised to go...
Words: 24975 - Pages: 100
...Quantitative Business Valuation Other Titles in the Irwin Library of Investment and Finance Convertible Securities by John P. Calamos Pricing and Managing Exotic and Hybrid Options by Vineer Bhansali Risk Management and Financial Derivatives by Satyajit Das Valuing Intangible Assets by Robert F. Reilly and Robert P. Schweihs Managing Financial Risk by Charles W. Smithson High-Yield Bonds by Theodore Barnhill, William Maxwell, and Mark Shenkman Valuing Small Business and Professional Practices, 3rd edition by Shannon Pratt, Robert F. Reilly, and Robert P. Schweihs Implementing Credit Derivatives by Israel Nelken The Handbook of Credit Derivatives by Jack Clark Francis, Joyce Frost, and J. Gregg Whittaker The Handbook of Advanced Business Valuation by Robert F. Reilly and Robert P. Schweihs Global Investment Risk Management by Ezra Zask Active Portfolio Management 2nd edition by Richard Grinold and Ronald Kahn The Hedge Fund Handbook by Stefano Lavinio Pricing, Hedging, and Trading Exotic Options by Israel Nelken Equity Management by Bruce Jacobs and Kenneth Levy Asset Allocation, 3rd edition by Roger Gibson Valuing a Business, 4th edition by Shannon P. Pratt, Robert F. Reilly, and Robert Schweihs The Relative Strength Index Advantage by Andrew Cardwell and John Hayden Quantitative Business Valuation A Mathematical Approach for Today’s Professional JAY B. ABRAMS, ASA, CPA, MBA McGRAW-HILL New York San Francisco Washington, D.C. Auckland Bogota ´ Caracas Lisbon London...
Words: 214584 - Pages: 859
...www.it-ebooks.info www.it-ebooks.info Praise “A must-read resource for anyone who is serious about embracing the opportunity of big data.” — Craig Vaughan Global Vice President at SAP “This timely book says out loud what has finally become apparent: in the modern world, Data is Business, and you can no longer think business without thinking data. Read this book and you will understand the Science behind thinking data.” — Ron Bekkerman Chief Data Officer at Carmel Ventures “A great book for business managers who lead or interact with data scientists, who wish to better understand the principals and algorithms available without the technical details of single-disciplinary books.” — Ronny Kohavi Partner Architect at Microsoft Online Services Division “Provost and Fawcett have distilled their mastery of both the art and science of real-world data analysis into an unrivalled introduction to the field.” —Geoff Webb Editor-in-Chief of Data Mining and Knowledge Discovery Journal “I would love it if everyone I had to work with had read this book.” — Claudia Perlich Chief Scientist of M6D (Media6Degrees) and Advertising Research Foundation Innovation Award Grand Winner (2013) www.it-ebooks.info “A foundational piece in the fast developing world of Data Science. A must read for anyone interested in the Big Data revolution." —Justin Gapper Business Unit Analytics Manager at Teledyne Scientific and Imaging “The authors, both renowned experts in data science before it had a name, have...
Words: 146629 - Pages: 587
...SUBJECT: BUSINESS STATISTICS COURSE CODE: MC-106 LESSON: 01 AUTHOR: SURINDER KUNDU VETTER: DR. B. S. BODLA AN INTRODUCTION TO BUSINESS STATISTICS OBJECTIVE: The aim of the present lesson is to enable the students to understand the meaning, definition, nature, importance and limitations of statistics. “A knowledge of statistics is like a knowledge of foreign language of algebra; it may prove of use at any time under any circumstance”……………………………………...Bowley. STRUCTURE: 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 1.10 Introduction Meaning and Definitions of Statistics Types of Data and Data Sources Types of Statistics Scope of Statistics Importance of Statistics in Business Limitations of statistics Summary Self-Test Questions Suggested Readings 1.1 INTRODUCTION For a layman, ‘Statistics’ means numerical information expressed in quantitative terms. This information may relate to objects, subjects, activities, phenomena, or regions of space. As a matter of fact, data have no limits as to their reference, coverage, and scope. At the macro level, these are data on gross national product and shares of agriculture, manufacturing, and services in GDP (Gross Domestic Product). 1 At the micro level, individual firms, howsoever small or large, produce extensive statistics on their operations. The annual reports of companies contain variety of data on sales, production, expenditure, inventories, capital employed, and other activities. These data are often field data...
Words: 134607 - Pages: 539
...A SUMMER INTERNSHIP PROJECT ON “TO STUDY THE DYNAMIC RELATIONSHIP AMONG FIIs, MUTUAL FUND EQUITY INVESTMENT AND OTHER SELECTED VARIABLES WITH NIFTY” Submitted to S.R. LUTHRA INSTITUTE OF MANAGEMENT IN PARTIAL FULFILLMENT OF THE REQUIREMENT OF THE AWARD FOR THE DEGREE OF MASTER OF BUSINESS ADMINISTRATION In Gujarat Technological University UNDER THE GUIDANCE OF Faculty Guide: Company Guide: Ms.Swapna Nair Mr. Mukesh Vishwakarma Assistant Professor Branch Manager Submitted by Mr. Kalpesh R. Ukani [Batch No. 2014-16, Enrollment No. 147500592114] MBA SEMESTER III S.R. LUTHRA INSTITUTE OF MANAGEMENT – 750 MBA PROGRAMME Affiliated to Gujarat Technological University Ahmedabad July, 2015 Company Certificate This is to certify that Mr. Kalpesh R. Ukani from S.R. LUTHRA INSTITUTE OF MANAGEMENT, have carried out the research on the subject titled “TO STUDY THE DYNAMIC RELATIONSHIP AMONG FIIs, MUTUAL FUND EQUITY INVESTMENT AND OTHER SELECTED VARIABLES WITH NIFTY” at ICICI SECURITIES under the supervision of Mr. Mukesh Vishwakarma, from 8th June 2015 to 17th July, 2015. I also certify that, the above mentioned student has carried the research work satisfactorily. Place: - Surat Date: - _________ Mr. Mukesh Vishwakarma (Branch Manager) Student’s Declaration I, Mr. Kalpesh R. Ukani , hereby declare that the report for Summer Internship Project entitled “TO STUDY THE DYNAMIC RELATIONSHIP...
Words: 14155 - Pages: 57
