Iranian Journal of Agricultural Economics and Development Research

Iranian Journal of Agricultural Economics and Development Research

Forecasting the price and value at risk of Iranian pistachios in the world market using stochastic differential equations

Document Type : Research Paper

Authors
Somayeh Al-sadat Mousavi 1
Abbasali Jafari-Nodoushan 1
Mohammad Hamidpour-Bedouei 2
1 Assistant professor, Department of Industrial Engineering, Meybod University, Meybod, Iran
2 MsC student, Department of Industrial Engineering, Meybod University, Meybod, Iran
10.22059/ijaedr.2022.335011.669109
Abstract
Due to the increasing competition of US America with Iran in the pistachio’s global market, US share in global exports is increased and replaces the Iran's share. On the other hand, in the oligopoly market structure, changes in global product prices strongly depends on a competitor that holds a major share of the global market. To predict the risk and price of the product using stochastic differential equations, it is necessary to estimate the statistical parameters of the price. According to the market trend and the change in the global pistachio market, there is no sufficient historical data in the new market approach. In this paper, the statistical parameters are estimated from a similar product’s price series in the similar world market to predict the price of the Iran’s pistachio in the global market using the geometric Brownian motion (GBM). Our investigations in the 1992-2018 period, revealed that the statistical parameters of almond export price can perform a framework for predicting the export price of pistachio and its corresponding risk in a quasi-Monopoly market. Based on our experimental results, the performance of the GBM has been improved to Theil’s index of 0.05 using the almond price series in the new market approach. Furthermore, according to the Coppock index and value at risk measures, the price fluctuation of Iran’s pistachio will be decreased in 2019-2023, and the minimum price of pistachios in 2023 will be 4461 dollars per ton at 99.9% confidence level.
Keywords
Price Forecast
Iran’s Pistachio
Stochastic differential equations
Geometric Brownian Motion
Value at Risk
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Iranian Journal of Agricultural Economics and Development Research
Volume 53, Issue 4
Autumn 2022
Pages 973-985