A Non Parametric Model for the Forecasting of the Venezuelan Oil Prices
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.
Keywords
Cite
@article{arxiv.0708.3829,
title = {A Non Parametric Model for the Forecasting of the Venezuelan Oil Prices},
author = {Sabatino Costanzo and Loren Trigo and Wafaa Dehne and Hender Prato},
journal= {arXiv preprint arXiv:0708.3829},
year = {2007}
}
Comments
17 pages, in Spanish