Forecasting the price and value at risk of Iranian pistachios in the world market using stochastic differential equations

Due to the increasing competition of US America with Iran in the pistachio’s global market, US share in global exports is increased and replaces the Iran's share. On the other hand, in the oligopoly market structure, changes in global product prices strongly depends on a competitor that holds a major share of the global market. To predict the risk and price of the product using stochastic differential equations, it is necessary to estimate the statistical parameters of the price. According to the market trend and the change in the global pistachio market, there is no sufficient historical data in the new market approach. In this paper, the statistical parameters are estimated from a similar product’s price series in the similar world market to predict the price of the Iran’s pistachio in the global market using the geometric Brownian motion (GBM). Our investigations in the 1992-2018 period, revealed that the statistical parameters of almond export price can perform a framework for predicting the export price of pistachio and its corresponding risk in a quasi-Monopoly market. Based on our experimental results, the performance of the GBM has been improved to Theil’s index of 0.05 using the almond price series in the new market approach. Furthermore, according to the Coppock index and value at risk measures, the price fluctuation of Iran’s pistachio will be decreased in 2019-2023, and the minimum price of pistachios in 2023 will be 4461 dollars per ton at 99.9% confidence level.