In this paper we implement trading strategies for asset price forecasting models using parameterised decision rules. We develop a synthetic trading environment to investigate the relative effects, in terms of profitability, of modifying the forecasting model and the decision rule. We show that implementation of the trading rule can be as important to trading performance as the predictive abilit...

This paper considers a manufacturer selling to a newsvendor retailer that possesses superior demand-forecast information. We show that the manufacturer’s expected profit is convex in the retailer’s forecasting accuracy: The manufacturer benefits from selling to a better-forecasting retailer if and only if the retailer is already a good forecaster. If the retailer has poor forecasting capabiliti...

During periods of market stress, electricity prices can rise dramatically. Electricity retailers cannot pass these extreme prices on to customers because of retail price regulation. Improved prediction of these price spikes, therefore, is important for risk management. This paper builds a time-varying-probability Markov-switching model of Queensland electricity prices, aimed particularly at for...

The objective of this paper is to present a parsimonious forecasting model for the fishmeal price. The focus is on the soybean meal market’s impact on the fish meal price through the soybean meal futures price together with the stocks-to-use as an indicator of demand and supply conditions. A salient feature of the fishmeal market is the impact of the ENSO events on fishmeal supply. This possibl...

One of the most used methods to forecast price volatility is the generalized autoregressive conditional heteroskedasticity (GARCH) model. Nonetheless, the errors in prediction using this approach are often quite high. Hence, continued research is conducted to improve forecasting models employing a variety of techniques. In this paper, we extend the field of expert systems, forecasting, and mode...

Forecasting the short-term trend of a stock market has long been a big challenging task. Parameters of stock markets, including open/close prices, daily-high/low prices and trading volumes, were frequently used in previous studies to forecast the stock market. Basing on the fact that the moving direction of these parameters have certain inertia within short-term period, we here explored the pot...