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Measuring volatility based on ordered weighted average operators: The case of agricultural product prices
Espinoza-Audelo, Luis
Merigó, Jose
Herrera-Viedma, Enrique
Herrera, Francisco
Elsevier
2021
Agricultural products have experienced sudden changes in prices in recent years as a result of volumes of production and demand at the international level. Volatility is a key element in understanding the difficulties that the market may have. However, the traditional formula for volatility only considers historical information and does not consider decision makers’ knowledge and skills. To improve this approach and obtain more accurate results consistent with the reality of the market, the ordered weighted averaging (OWA) operator is used. These new approaches are the OWA-Volatility, Induced OWA-Volatility, Heavy OWA-Volatility, Probabilistic OWA-Volatility, Induced Probabilistic OWA-Volatility and Induced Heavy OWA-Volatility. In addition, some particular cases are presented in which the aggregation process is only applied to one part of the formula or quasi-arithmetic means are used. An example of volatility calculations for corn prices in 2017 is presented.
Volatility
OWA operator
Standard deviation
Corn price