An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand

An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand

Abstract In this paper, we examine an application of Ornstein-Uhlenbeck process to commodity pricing in Thailand. Prices of Tapioca Starch, Ribbed Smoke Sheet no. 3, and Thai Hom Mali Rice are investigated. We use three parameter estimation methods: least squares estimation, maximum likelihood estim...

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Bibliographic Details
Main Authors: Nattiya Chaiyapo, Nattakorn Phewchean
Format: Article
Language:English
Published: SpringerOpen 2017-06-01
Series:Advances in Difference Equations
Subjects:
Ornstein-Uhlenbeck process
stochastic process
parameter estimation
commodity pricing
Online Access:http://link.springer.com/article/10.1186/s13662-017-1234-y

Internet

http://link.springer.com/article/10.1186/s13662-017-1234-y

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