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arXiv · 0708.3829

A Non Parametric Model for the Forecasting of the Venezuelan Oil Prices

Sabatino Costanzo·Loren Trigo·Wafaa Dehne·Hender Prato
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Abstract

A neural net model for forecasting the prices of Venezuelan crude oil is proposed. The inputs of the neural net are selected by reference to a dynamic system model of oil prices by Mashayekhi (1995, 2001) and its performance is evaluated using two criteria: the Excess Profitability test by Anatoliev and Gerko (2005) and the characteristics of the equity curve generated by a trading strategy based on the neural net predictions. ----- Se introduce aqui un modelo no parametrico para pronosticar los precios del petroleo Venezolano cuyos insumos son seleccionados en base a un sistema dinamico que explica los precios en terminos de dichos insumos. Se describe el proceso de recoleccion y pre-procesamiento de datos y la corrida de la red y se evaluan sus pronosticos a traves de un test estadistico de predictibilidad y de las caracteristicas del Equity Curve inducido por la estrategia de compraventa bursatil generada por dichos pronosticos.

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BibTeXRIS

Sabatino Costanzo, Loren Trigo, Wafaa Dehne, Hender Prato. 2007-08-28. A Non Parametric Model for the Forecasting of the Venezuelan Oil Prices. https://arxiv.org/abs/0708.3829

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