Forecasting Commodity Prices Using ARIMA
by ERIC WEISS, Ph.D.
Back in December 1981, J. Louis Anon wrote an article in Commodities called "Catch Short Term
Profits using ARIMA'' and touched off a minor revolution in forecasting commodity and stock option
prices with his claims that ARIMA could forecast prices within 1.5 percent.
I had written an ARIMA package for statisticians who have an Apple II (or III), which was the only one
for a microcomputer. Anon learned of this and referred customers who did not want to use a large
mainframe computer (such as the one you can buy time on from his employer, Chase Econometrics) to
me. Talking with potential customers, it became clear that the Anon article failed to answer many of their
questions. It also became obvious that the original package had to be modified for traders to be able to