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    Spot price modelling of industrial metals – an heterogeneous agent based model for Copper

    Geman, Hélyette and Scheiber, Matthias (2014) Spot price modelling of industrial metals – an heterogeneous agent based model for Copper. Working Paper. Birkbeck College, University of London, London, UK.

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    Abstract

    Abstract We will show in this paper the role of inventories in explaining copper price volatility. Using a three factor model we derive a fundamental long-term value for copper. Second, we emphasis the significance of this fundamental long-term value by considering an agent based model approach in which mean-reversion focused fundamental investors trade with chartists who follow price trends. We show that fundamental investors take increasing positions in copper when the spot price of copper deviated from its fundamental value (i.e. the fundamental value is higher than the spot price) and chartists loose relative significance.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: ISSN 1745-8587: BWPEF 1404
    Keyword(s) / Subject(s): Heterogeneous agent based modelling, copper spot price modelling, 3 factor stochastic volatility model, Runge Kutta, Kalman Filter
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Commodities Finance Centre
    Depositing User: Administrator
    Date Deposited: 20 May 2016 13:12
    Last Modified: 07 Jun 2017 13:25
    URI: http://eprints.bbk.ac.uk/id/eprint/15283

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