FORECASTING NICKEL PRICES WITH THE AUTOMATIC CLUSTERING FUZZY TIME SERIES MARKOV APPROACH

Abstract

Nickel was a critical raw material used in a wide range of industries. The price movement of nickel tends to fluctuate and remain uncertain due to market conditions varying over time. Therefore, forecasting nickel prices was essential to understanding future price movements. In this study, we applied the automatic clustering fuzzy time series Markov chain method. The automatic clustering algorithm generates multiple intervals and fuzzy relations. Subsequently, forecasting was based on these fuzzy relations and a Markov chain transition probability matrix involving three stages to enhance forecast accuracy. We use monthly closing futures nickel price data from January 2009 to May 2024. The accuracy of the forecasting model was measured using the mean absolute percentage error (MAPE). The analysis showed that implementing the automatic clustering fuzzy time series Markov chain method results in excellent forecasting accuracy, with a MAPE value of 1.76% (equivalent to 98.24% accuracy). The predicted nickel price for June 2024 was US$ 19,608.5.