An approach to stochastic differential equations for long-term forecasting in the presence of $\alpha$-stable noise: an application to gold prices

Bakary D. Coulibaly; Chaibi Ghizlane; Mohammed El Khomssi

doi:10.53391/mmnsa.1416148

EN

An approach to stochastic differential equations for long-term forecasting in the presence of $\alpha$-stable noise: an application to gold prices

Abstract

This article introduces a novel approach to forecasting gold prices over an extended period by leveraging a sophisticated stochastic process. Departing from traditional models, our proposed framework accommodates the non-Gaussian and non-homogeneous nature of gold market dynamics. Rooted in the $\alpha$-stable distribution, our model captures time-dependent characteristics and exhibits flexibility in handling the distinctive features observed in real gold prices. Building upon prior research, we present a comprehensive methodology for estimating time-dependent parameters and validate its efficacy through simulations. The results affirm the universality of our stochastic model, showcasing its applicability for accurate and robust long-term predictions in gold prices.

Keywords

Stochastic differential equation, modeling $\alpha$-stable distribution, parameters estimation, forecasting, gold prices, long-term prediction

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Details

Primary Language

English

Subjects

Numerical Solution of Differential and Integral Equations, Financial Mathematics

Journal Section

Research Article

Authors

Bakary D. Coulibaly ^*
0000-0002-7711-2970
Morocco

Chaibi Ghizlane
0000-0001-8393-1860
Morocco

Mohammed El Khomssi
0009-0007-7250-811X
Morocco

Publication Date

June 30, 2024

Submission Date

January 7, 2024

Acceptance Date

May 27, 2024

Published in Issue

Year 2024 Volume: 4 Number: 2

DOI

https://doi.org/10.53391/mmnsa.1416148

IZ

https://izlik.org/JA87PR62FW

APA

Coulibaly, B. D., Ghizlane, C., & Khomssi, M. E. (2024). An approach to stochastic differential equations for long-term forecasting in the presence of $\alpha$-stable noise: an application to gold prices. Mathematical Modelling and Numerical Simulation With Applications, 4(2), 165-192. https://doi.org/10.53391/mmnsa.1416148

AMA

1.Coulibaly BD, Ghizlane C, Khomssi ME. An approach to stochastic differential equations for long-term forecasting in the presence of $\alpha$-stable noise: an application to gold prices. MMNSA. 2024;4(2):165-192. doi:10.53391/mmnsa.1416148

Chicago

Coulibaly, Bakary D., Chaibi Ghizlane, and Mohammed El Khomssi. 2024. “An Approach to Stochastic Differential Equations for Long-Term Forecasting in the Presence of $\alpha$-Stable Noise: an Application to Gold Prices”. Mathematical Modelling and Numerical Simulation With Applications 4 (2): 165-92. https://doi.org/10.53391/mmnsa.1416148.

EndNote

Coulibaly BD, Ghizlane C, Khomssi ME (June 1, 2024) An approach to stochastic differential equations for long-term forecasting in the presence of $\alpha$-stable noise: an application to gold prices. Mathematical Modelling and Numerical Simulation with Applications 4 2 165–192.

IEEE

[1]B. D. Coulibaly, C. Ghizlane, and M. E. Khomssi, “An approach to stochastic differential equations for long-term forecasting in the presence of $\alpha$-stable noise: an application to gold prices”, MMNSA, vol. 4, no. 2, pp. 165–192, June 2024, doi: 10.53391/mmnsa.1416148.

ISNAD

Coulibaly, Bakary D. - Ghizlane, Chaibi - Khomssi, Mohammed El. “An Approach to Stochastic Differential Equations for Long-Term Forecasting in the Presence of $\alpha$-Stable Noise: an Application to Gold Prices”. Mathematical Modelling and Numerical Simulation with Applications 4/2 (June 1, 2024): 165-192. https://doi.org/10.53391/mmnsa.1416148.

JAMA

1.Coulibaly BD, Ghizlane C, Khomssi ME. An approach to stochastic differential equations for long-term forecasting in the presence of $\alpha$-stable noise: an application to gold prices. MMNSA. 2024;4:165–192.

MLA

Coulibaly, Bakary D., et al. “An Approach to Stochastic Differential Equations for Long-Term Forecasting in the Presence of $\alpha$-Stable Noise: an Application to Gold Prices”. Mathematical Modelling and Numerical Simulation With Applications, vol. 4, no. 2, June 2024, pp. 165-92, doi:10.53391/mmnsa.1416148.

Vancouver

1.Bakary D. Coulibaly, Chaibi Ghizlane, Mohammed El Khomssi. An approach to stochastic differential equations for long-term forecasting in the presence of $\alpha$-stable noise: an application to gold prices. MMNSA. 2024 Jun. 1;4(2):165-92. doi:10.53391/mmnsa.1416148

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