NDLI: Analyse de sensibilité dans un contexte de prévision du prix des métaux

Please wait, while we are loading the content...

Analyse de sensibilité dans un contexte de prévision du prix des métaux

Content Provider	Semantic Scholar
Author	Mahamat, Abbassi Abbass
Copyright Year	2011
Abstract	RESUME Ce memoire explore le concept d'analyse de sensibilite dans un contexte de prevision. On s'interesse a un indice du prix des metaux (code sous le terme WPU10) publie par le bureau americain de la statistique du travail ou « Bureau of Labor Statistics » (BLS). Pour ce faire, on utilise la decomposition de l'indice WPU10 fournie par le BLS pour construire un indice synthetique repliquant son comportement que, dans une seconde phase nous utiliserons pour faire des previsions a l'aide du principe de processus de diffusion developpe en finance. On fait intervenir des notions telles que ceux de processus stochastiques, de factorisation de Cholesky et des techniques de simulations comme celle de Monte Carlo. Enfin, nous comparons le modele developpe en termes de flexibilite et de precision dans la prediction a un modele plus classique de prediction de serie temporelle.-ABSTRACT The main subject of this thesis is about the scientific principle of sensitivity analysis, where we studied the volatility of a metal price index published by the American Bureau of Labor Statistics (BLS) coded under the term WPU10. Thus we have developed a forecast model of the index of interest based on a Monte Carlo simulation using a multivariate random number matrix generated through a Cholesky factorization. In addition we have compared the efficiency of our forecast model to another model based on the study of time series using auto regression.
File Format	PDF HTM / HTML
Alternate Webpage(s)	https://publications.polymtl.ca/599/1/2011_AbbassiAbbasMahamat.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

Central Library (ISO-9001:2015 Certified)
Indian Institute of Technology Kharagpur
Kharagpur, West Bengal, India | PIN - 721302

See location in the Map
03222 282435
Mail: support@ndl.gov.in

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in