Abrishami, Hamid, Bourbour, Fatemeh, Aghajani, Ma’asoumeh (2014). Prediction of Natural Gas Price Using GMDH Type Neural Network:A Case Study of USA Market. , 21(3), 1-16.
Hamid Abrishami; Fatemeh Bourbour; Ma’asoumeh Aghajani. "Prediction of Natural Gas Price Using GMDH Type Neural Network:A Case Study of USA Market". , 21, 3, 2014, 1-16.
Abrishami, Hamid, Bourbour, Fatemeh, Aghajani, Ma’asoumeh (2014). 'Prediction of Natural Gas Price Using GMDH Type Neural Network:A Case Study of USA Market', , 21(3), pp. 1-16.
Abrishami, Hamid, Bourbour, Fatemeh, Aghajani, Ma’asoumeh Prediction of Natural Gas Price Using GMDH Type Neural Network:A Case Study of USA Market. , 2014; 21(3): 1-16.

Prediction of Natural Gas Price Using GMDH Type Neural Network:A Case Study of USA Market

The International Journal of Humanities
Article 1, Volume 21, Issue 3, 2014, Pages 1-16    PDF (300.02 K)
Authors
Hamid Abrishami* 1; Fatemeh Bourbour2; Ma’asoumeh Aghajani3
1Professor in Faculty of Economics, University of Tehran
2MA in economics,University of Tehran, Oil company employees.
3PhD student in economics, Allameh Tabatabaee University.
Abstract
In this paper, a model based on GMDH Type Neural Network, is used to predict gas price in the spot market while using oil spot market price, gas spot market price, gas future market price, oil future market price and average temperature of the weather. The results suggest that GMDH Neural Network model, according to the Root Mean Squared Error (RMSE) and Direction statistics (Dstat) statistics are more effective than OLS method. Also, first lag of gas price in the future market is the most efficient variable in predicting gas price in spot market.
Keywords
Prediction; Natural Gas Price; Neural Network; Natural gas
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