Cet article examine l'évolution à court terme des cours du cacao sur le marché de New York. Nous essayons d'établir des prévisions hors échantillon en utilisant une modélisation non linéaire de type réseaux de neurones. Nous examinons aussi l'impact des volumes de transactions, de la volatilité ainsi les positions ouvertes sur la qualité des prévisions. Les modèles proposés sont comparés à la marche aléatoire et aux modèles ARIMA linéaires de Box-Jenkins. Nous constatons la supériorité des modèles non linéaires à prévoir ce type chroniques

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Prévision statique dans l'échantillon
J J A S O N D J F M A M J J A S O N D
1996 1997
1200
1300
1400
1500
1600
1700
1800
1200
1300
1400
1500
1600
1700
1800
Cours observés
Cours prévus
Prévisions statiques hors échantillon
5 12 19 26 2 9 16 23 2 9 16 23 30 6 13 20 27 4 11 18
January February March April May
1440
1480
1520
1560
1600
1640
1680
1720
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1200
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1800
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Cours observés
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202. Prévision statique dans l'échantillon
J J A S O N D J F M A M J J A S O N D J
1996 1997
1200
1300
1400
1500
1600
1700
1800
1200
1300
1400
1500
1600
1700
1800
Cours observés
Cours prévus
Prévisions statiques hors échantillon
12 19 26 2 9 16 23 2 9 16 23 30 6 13 20 27 4 11 18 25
January February March April May
1440
1480
1520
1560
1600
1640
1680
1720
1760
1440
1480
1520
1560
1600
1640
1680
1720
1760
Cours observés
Cours prévus
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