Gold Price Modeling Using System Dynamics

  • Wipawee Tharmmaphornphilas Chulalongkorn University
  • Haruetai Lohasiriwat Chulalongkorn University
  • Pathompol Vannasetta

Downloads

Download data is not yet available.

Abstract

The global gold market has recently attracted a lot of attention and the price of gold is relatively higher than its historical trend. This paper constitutes the first exercise of system dynamics applied to gold price in monthly frequency from January 2010 to June 2011. Rather than static forecasting characteristics found in another quantitative method, time-series, system dynamics allows possibility for prediction based on capturing causal interactions and consequently the feedback loops usually found in a complex system behaviour such as the gold price system. Therefore, it was expected that moving toward forecasting method utilizing system dynamics model could result in better prediction of the gold price. Our paper supports such hypothesis. Having ability to take into account of qualitative factors particularly political chaos and economic crisis events, the model developed in this paper reduces the prediction error, mean absolute percent error (MAPE), to merely 2% compared to approximately 9% error found with Holt-Winter Exponential Smoothing and 11% error using Box-Jenkins Method.

View article in other formats
Author Biographies
Wipawee Tharmmaphornphilas

Department of Industrial Engineering, Faculty of Engineering, Chulalongkorn University, Bangkok 10330, Thailand

Haruetai Lohasiriwat

Department of Industrial Engineering, Faculty of Engineering, Chulalongkorn University, Bangkok 10330, Thailand

Pathompol Vannasetta

Department of Industrial Engineering, Faculty of Engineering, Chulalongkorn University, Bangkok 10330, Thailand

Published
Vol 16 No 5, May 20, 2012
How to Cite
W. Tharmmaphornphilas, H. Lohasiriwat, and P. Vannasetta, “Gold Price Modeling Using System Dynamics”, Eng. J., vol. 16, no. 5, pp. 57-68, May 2012.

Authors who publish with Engineering Journal agree to transfer all copyright rights in and to the above work to the Engineering Journal (EJ)'s Editorial Board so that EJ's Editorial Board shall have the right to publish the work for nonprofit use in any media or form. In return, authors retain: (1) all proprietary rights other than copyright; (2) re-use of all or part of the above paper in their other work; (3) right to reproduce or authorize others to reproduce the above paper for authors' personal use or for company use if the source and EJ's copyright notice is indicated, and if the reproduction is not made for the purpose of sale.

Article Statistics
Total PDF downloads: 1032