Technique of forecasting of the price of nickel in the commodity market taking into account the futures delivery price

Abstract

Purpose: development of price long-term forecasting methods. Discussion: The companies of a metallurgical complex feel need for forecasting of the prices. The knowledge of future cost of metals allows them to maintain the competition, to increase profit by an exception of the expenses connected with the conclusion of unprofitable contracts. Results: we offered the technique of long-term forecasting based on identification of expectation of investors of rather future price of an asset from the future price. It is supposed that expectation of investors of rather future price is one of the main components forming the future price. This assumption is confirmed by that the future price reflects expectation of investors. The forecast is considered for 14 days ahead as it is term on delivery in the standard contract. The forecast error for 14 days ahead by this technique makes 3,38%. Calculations were made on the basis of data on the prices of ton of nickel and 3 monthly future prices of ton of these goods which were created during the period from 01.01.2015 till 31.03.2015. In practice it is often important to know, whether there will be growth of the price, or falling. Also other indicator reflecting quality of expected model is for this purpose entered: a share of correctly predicted directions of the movement of the price. The presented model in 71,43% cases correctly predicts the direction of the price. Results are compared to other models. The main advantages, the main thing from which, a combination of technical and fundamental analyses in a technique are marked out.