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Thailand Natural Rubber Price Simulation:

Continuous vs. Jumps Behaviors

Chakkraphong Tomood , Rattikan Saelim and Pakwan Riyapan
1,*,†
3
2,†

1,2,3 Department of Mathematics and Computer Science, Faculty of Science and Technology,
Prince of Songkla University, Pattani Campus
2 Centre of Excellence in Mathematics, CHE, Si Ayutthaya Rd., Bangkok 10400, Thailand
3
1 chakkraphong.tomood@gmail.com, rattikan.s@psu.ac.th, pakwan.r@psu.ac.th
2
Abstract

Natural rubber is one of the most important agricultural products

of Thailand. Since the movement of the natural rubber price is similar
to the stock price, it is interesting to study its behavior. Most of the

work considered prices as continuous processes which are modeled
based on Brownian motion which has continuous sample paths.

However, many small and large changes of the price observed by eyes

brought to the question of jumps. This study aims to simulate the
Unsmoked Sheet Rubber (USS) price in Hat Yai market starting from

January 3, 2007 to February 27, 2015 with two models. One is when

the price is assumed to be continuous, the other is when it is assumed
to have jumps. The results show that the simulation obtained by the

continuous model provided an approximately better fit than the

model with jumps. It indicated that those large changes observed
does not affect the continuous behavior of the studied USS price.

Mathematics Subject Classification: 58J65, 91B25, 91B70
Keywords: price simulation, model with jumps, natural rubber price

* Corresponding author
† The author is supported by the Centre of Excellence in Mathematics