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Measuring volatility based on ordered weighted average operators: The case of agricultural product prices
Fuzzy Sets and Systems ( IF 3.2 ) Pub Date : 2020-08-14 , DOI: 10.1016/j.fss.2020.08.006
Ernesto León-Castro , Luis F. Espinoza-Audelo , Jose M. Merigó , Enrique Herrera-Viedma , Francisco Herrera

Agricultural products have experienced sudden changes in prices in recent years as a result of volumes of production and demand at the international level. Volatility is a key element in understanding the difficulties that the market may have. However, the traditional formula for volatility only considers historical information and does not consider decision makers' knowledge and skills. To improve this approach and obtain more accurate results consistent with the reality of the market, the ordered weighted averaging (OWA) operator is used. These new approaches are the OWA-Volatility, Induced OWA-Volatility, Heavy OWA-Volatility, Probabilistic OWA-Volatility, Induced Probabilistic OWA-Volatility and Induced Heavy OWA-Volatility. In addition, some particular cases are presented in which the aggregation process is only applied to one part of the formula or quasi-arithmetic means are used. An example of volatility calculations for corn prices in 2017 is presented.



中文翻译:

基于有序加权平均算子的波动率测度:以农产品价格为例

近年来,由于国际水平的生产和需求量,农产品价格发生了突然变化。波动性是了解市场可能遇到的困难的关键因素。但是,传统的波动率公式只考虑历史信息,没有考虑决策者的知识和技能。为了改进这种方法并获得与市场现实一致的更准确的结果,使用了有序加权平均 (OWA) 算子。这些新方法是 OWA-Volatility、Induced OWA-Volatility、Heavy OWA-Volatility、Probabilistic OWA-Volatility、Induced Probabilistic OWA-Volatility 和 Induced Heavy OWA-Volatility。此外,介绍了一些特殊情况,其中聚合过程仅应用于公式的一部分或使用准算术手段。提供了 2017 年玉米价格波动率计算的示例。

更新日期:2020-08-14
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