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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Commodities Finance Centre |
| Depositing User: | Administrator |
| Date Deposited: | 20 May 2016 13:12 |
| Last Modified: | 02 Aug 2023 17:24 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/15283 |
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