Evaluation of an iron ore price forecast using a geometric Brownian motion model

Detalhes bibliográficos
Autor(a) principal: Ramos,André Lubene
Data de Publicação: 2019
Outros Autores: Mazzinghy,Douglas Batista, Barbosa,Viviane da Silva Borges, Oliveira,Michel Melo, Silva,Gilberto Rodrigues da
Tipo de documento: Artigo
Idioma: eng
Título da fonte: REM - International Engineering Journal
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S2448-167X2019000200009
Resumo: Abstract Mining projects are often budgeted in millions of dollars, making it of interest to the investor to measure a project’s uncertainties and risks, which include the changes in the commodity price. The simulation of asset prices is valid because it enables displaying, with a degree of certainty, the future behavior of a financial asset. One of the most commonly used mathematical forecast models is the Geometric Brownian Motion (GBM) model. This article aims at simulating the forecast price of an iron ore commodity with the GBM method based on the historical price series and comparing it to other forecast approaches used in the financial market. The results of this study indicate that the model has limitations, which should be considered. However, it is an overall good tool to support the economic evaluation of a project, if performed along with other approaches.
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spelling Evaluation of an iron ore price forecast using a geometric Brownian motion modelcommoditymining projectsmathematical modelsGeometric Brownian ModelAbstract Mining projects are often budgeted in millions of dollars, making it of interest to the investor to measure a project’s uncertainties and risks, which include the changes in the commodity price. The simulation of asset prices is valid because it enables displaying, with a degree of certainty, the future behavior of a financial asset. One of the most commonly used mathematical forecast models is the Geometric Brownian Motion (GBM) model. This article aims at simulating the forecast price of an iron ore commodity with the GBM method based on the historical price series and comparing it to other forecast approaches used in the financial market. The results of this study indicate that the model has limitations, which should be considered. However, it is an overall good tool to support the economic evaluation of a project, if performed along with other approaches.Fundação Gorceix2019-03-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S2448-167X2019000200009REM - International Engineering Journal v.72 n.1 suppl.1 2019reponame:REM - International Engineering Journalinstname:Fundação Gorceix (FG)instacron:FG10.1590/0370-44672018720140info:eu-repo/semantics/openAccessRamos,André LubeneMazzinghy,Douglas BatistaBarbosa,Viviane da Silva BorgesOliveira,Michel MeloSilva,Gilberto Rodrigues daeng2019-02-05T00:00:00Zoai:scielo:S2448-167X2019000200009Revistahttps://www.rem.com.br/?lang=pt-brPRIhttps://old.scielo.br/oai/scielo-oai.php||editor@rem.com.br2448-167X2448-167Xopendoar:2019-02-05T00:00REM - International Engineering Journal - Fundação Gorceix (FG)false
dc.title.none.fl_str_mv Evaluation of an iron ore price forecast using a geometric Brownian motion model
title Evaluation of an iron ore price forecast using a geometric Brownian motion model
spellingShingle Evaluation of an iron ore price forecast using a geometric Brownian motion model
Ramos,André Lubene
commodity
mining projects
mathematical models
Geometric Brownian Model
title_short Evaluation of an iron ore price forecast using a geometric Brownian motion model
title_full Evaluation of an iron ore price forecast using a geometric Brownian motion model
title_fullStr Evaluation of an iron ore price forecast using a geometric Brownian motion model
title_full_unstemmed Evaluation of an iron ore price forecast using a geometric Brownian motion model
title_sort Evaluation of an iron ore price forecast using a geometric Brownian motion model
author Ramos,André Lubene
author_facet Ramos,André Lubene
Mazzinghy,Douglas Batista
Barbosa,Viviane da Silva Borges
Oliveira,Michel Melo
Silva,Gilberto Rodrigues da
author_role author
author2 Mazzinghy,Douglas Batista
Barbosa,Viviane da Silva Borges
Oliveira,Michel Melo
Silva,Gilberto Rodrigues da
author2_role author
author
author
author
dc.contributor.author.fl_str_mv Ramos,André Lubene
Mazzinghy,Douglas Batista
Barbosa,Viviane da Silva Borges
Oliveira,Michel Melo
Silva,Gilberto Rodrigues da
dc.subject.por.fl_str_mv commodity
mining projects
mathematical models
Geometric Brownian Model
topic commodity
mining projects
mathematical models
Geometric Brownian Model
description Abstract Mining projects are often budgeted in millions of dollars, making it of interest to the investor to measure a project’s uncertainties and risks, which include the changes in the commodity price. The simulation of asset prices is valid because it enables displaying, with a degree of certainty, the future behavior of a financial asset. One of the most commonly used mathematical forecast models is the Geometric Brownian Motion (GBM) model. This article aims at simulating the forecast price of an iron ore commodity with the GBM method based on the historical price series and comparing it to other forecast approaches used in the financial market. The results of this study indicate that the model has limitations, which should be considered. However, it is an overall good tool to support the economic evaluation of a project, if performed along with other approaches.
publishDate 2019
dc.date.none.fl_str_mv 2019-03-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S2448-167X2019000200009
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S2448-167X2019000200009
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/0370-44672018720140
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Gorceix
publisher.none.fl_str_mv Fundação Gorceix
dc.source.none.fl_str_mv REM - International Engineering Journal v.72 n.1 suppl.1 2019
reponame:REM - International Engineering Journal
instname:Fundação Gorceix (FG)
instacron:FG
instname_str Fundação Gorceix (FG)
instacron_str FG
institution FG
reponame_str REM - International Engineering Journal
collection REM - International Engineering Journal
repository.name.fl_str_mv REM - International Engineering Journal - Fundação Gorceix (FG)
repository.mail.fl_str_mv ||editor@rem.com.br
_version_ 1754734691047440385

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