Geometric fractional Brownian motion model for commodity market simulation
The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. By incorporating Hurst parameter to GBM to characterize long-memory phenomenon, the geometric fractional Brownian motion (GFBM) model was introduced, which allows its disjoint increments...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2021
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| Online Access: | http://psasir.upm.edu.my/id/eprint/97441/1/ABSTRACT.pdf |
| _version_ | 1796983396539301888 |
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| author | Ibrahim, Siti Nur Iqmal Misiran, Masnita Laham, Mohamed Faris |
| author_facet | Ibrahim, Siti Nur Iqmal Misiran, Masnita Laham, Mohamed Faris |
| author_sort | Ibrahim, Siti Nur Iqmal |
| collection | UPM |
| description | The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. By incorporating Hurst parameter to GBM to characterize long-memory phenomenon, the geometric fractional Brownian motion (GFBM) model was introduced, which allows its disjoint increments to be correlated. This paper investigates the accuracy of GBM and GFBM in modelling Malaysia’s crude palm oil price simulation, and to see display of persistent or anti-persistent behaviour across different periods. Results show that the GFBM model is more accurate than the GBM model in simulating future price path for the given data set. |
| first_indexed | 2024-03-06T11:05:57Z |
| format | Article |
| id | upm.eprints-97441 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T11:05:57Z |
| publishDate | 2021 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | upm.eprints-974412022-07-27T08:36:16Z http://psasir.upm.edu.my/id/eprint/97441/ Geometric fractional Brownian motion model for commodity market simulation Ibrahim, Siti Nur Iqmal Misiran, Masnita Laham, Mohamed Faris The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. By incorporating Hurst parameter to GBM to characterize long-memory phenomenon, the geometric fractional Brownian motion (GFBM) model was introduced, which allows its disjoint increments to be correlated. This paper investigates the accuracy of GBM and GFBM in modelling Malaysia’s crude palm oil price simulation, and to see display of persistent or anti-persistent behaviour across different periods. Results show that the GFBM model is more accurate than the GBM model in simulating future price path for the given data set. Elsevier 2021 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/97441/1/ABSTRACT.pdf Ibrahim, Siti Nur Iqmal and Misiran, Masnita and Laham, Mohamed Faris (2021) Geometric fractional Brownian motion model for commodity market simulation. Alexandria Engineering Journal, 60 (1). 955 - 962. ISSN 2090-2670 https://www.sciencedirect.com/science/article/pii/S111001682030541X 10.1016/j.aej.2020.10.023 |
| spellingShingle | Ibrahim, Siti Nur Iqmal Misiran, Masnita Laham, Mohamed Faris Geometric fractional Brownian motion model for commodity market simulation |
| title | Geometric fractional Brownian motion model for commodity market simulation |
| title_full | Geometric fractional Brownian motion model for commodity market simulation |
| title_fullStr | Geometric fractional Brownian motion model for commodity market simulation |
| title_full_unstemmed | Geometric fractional Brownian motion model for commodity market simulation |
| title_short | Geometric fractional Brownian motion model for commodity market simulation |
| title_sort | geometric fractional brownian motion model for commodity market simulation |
| url | http://psasir.upm.edu.my/id/eprint/97441/1/ABSTRACT.pdf |
| work_keys_str_mv | AT ibrahimsitinuriqmal geometricfractionalbrownianmotionmodelforcommoditymarketsimulation AT misiranmasnita geometricfractionalbrownianmotionmodelforcommoditymarketsimulation AT lahammohamedfaris geometricfractionalbrownianmotionmodelforcommoditymarketsimulation |