论文标题
从气候到商品生产预测和风险管理的大数据链接
Big Data links from Climate to Commodity Production Forecasts and Risk Management
论文作者
论文摘要
冷冻浓缩橙汁（FCOJ）是在国际商品交易所交易的商品。 FCOJ未来的价格波动很高，因为世界的橙色产量集中在几个地方，从而对天气和疾病产生了极大的敏感性。在美国生产的大多数橘子都来自佛罗里达。美国农业部（USDA）在10月至七月的每个月的第二周发布橙色生产预测。尤其是十月的预测似乎会影响FCOJ的价格波动。我们评估了USDA 10月预测的方向性和大小的预测如何影响多个FCOJ市场参与者的决策过程，以及是否可以通过合并其他气候变量来减少预测的“生产不确定性”。这些模型开发了一个机会，可以评估USDA生产预测误差在不同FCOJ利益相关者的交易决策中的概率预测的应用，并可能考虑将气候预测因子纳入USDA预测中。
Frozen concentrated orange juice (FCOJ) is a commodity traded in the International Commodity Exchange. The FCOJ future price volatility is high because the world's orange production is concentrated in a few places, which results in extreme sensitivity to weather and disease. Most of the oranges produced in the United States are from Florida. The United States Department of Agriculture (USDA) issues orange production forecasts on the second week of each month from October to July. The October forecast in particular seems to affect FCOJ price volatility. We assess how a prediction of the directionality and magnitude of the error of the USDA October forecast could affect the decision making process of multiple FCOJ market participants, and if the "production uncertainty" of the forecast could be reduced by incorporating other climate variables. The models developed open up the opportunity to assess the application of the resulting probabilistic forecasts of the USDA production forecast error on the trading decisions of the different FCOJ stakeholders, and to perhaps consider the inclusion of climate predictors in the USDA forecast.
