Modelling exchange-driven fish price dynamics
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Bibliographic record
Abstract
Purpose This paper aims to put forward and compare two accessible approaches to model and forecast spot prices in the fishing industry. The first modelling approach is a Markov-switching model (MSM) in which a Markov chain captures different economic regimes and a stochastic convenience yield is embedded in the spot price. The second approach is based on a multi-factor model (MFM) featuring three correlated stochastic factors. Design/methodology/approach The two proposed approaches are analysed in terms of parameter-estimation accuracy, information criteria and prediction performance. For MSM’s calibration, the quasi-log-likelihood method was applied directly while for the MFM’s parameter estimation, this paper designs an enhanced multi-variate maximum likelihood method with the aid of moments matching. The numerical experiments make use of both simulated and actual data compiled by the Fish Pool ASA. Data on both the Fish Pool’s forwards and Norwegian T-bill yields were additionally used in the MFM’s implementation. Findings Using simulated data sets, the MSM estimation gives more accurate results than the MFM estimation in terms of the norm in ℓ 2 between the “true” and “computed” parameter estimates and significantly lower standard errors. With actual data sets used to evaluate the forecast values, both approaches have similar performances based on the error analysis. Under some metrics balancing goodness of fit and model complexity, the MFM outperforms the MSM. Originality/value With the aid of simulated and observed data sets examined in this paper, insights are gained concerning the appropriateness, as well as the benefits and weaknesses of the two proposed approaches. The modelling and estimation methodologies serve as prelude to reliable frameworks that will support the pricing and risk management of derivative contracts on fish price evolution, which creates price risk transfer mechanisms from the fisheries/aquaculture sector to the financial industry.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it