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 longmemory phenomenon, the geometric fractional Brownian motion (GFBM) model was introduced, which allows its disjoint increments t...
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| Format: | Article |
| Language: | English |
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Faculty of Engineering, Alexandria University
2021
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| Online Access: | https://repo.uum.edu.my/id/eprint/30893/1/1-s2.0-S111001682030541X-main.pdf https://doi.org/10.1016/j.aej.2020.10.023 |
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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 | UUM |
| 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 longmemory 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 | 2024-07-04T06:46:44Z |
| format | Article |
| id | uum-30893 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:46:44Z |
| publishDate | 2021 |
| publisher | Faculty of Engineering, Alexandria University |
| record_format | dspace |
| spelling | uum-308932024-06-23T08:33:12Z https://repo.uum.edu.my/id/eprint/30893/ Geometric Fractional Brownian Motion Model for Commodity Market Simulation Ibrahim, Siti Nur Iqmal Misiran, Masnita Laham, Mohamed Faris QA Mathematics 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 longmemory 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 Faculty of Engineering, Alexandria University 2021 Article PeerReviewed application/pdf en cc4_by_nc_nd https://repo.uum.edu.my/id/eprint/30893/1/1-s2.0-S111001682030541X-main.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. pp. 955-962. ISSN 2090-2670 https://pdf.sciencedirectassets.com/270704/1-s2.0-S1110016820X00081/1-s2.0-S111001682030541X/main.pdf?X-Amz-Security-Token=IQoJb3JpZ2luX2VjEDMaCXVzLWVhc3QtMSJIMEYCIQCwFCQVOmbSqP7WFCLZl1mYl4OBqklOP1AN0NoXBcHkQgIhALrb8PXnb3A867L%2Baot05W5iXWLHZLYbsYV2eeT4R0NmKrsFCMv%2F%2F%2F%2F%2F%2F%2F%2F%2F%2FwEQBRoMMDU5MDAzNTQ2ODY1IgyCeC6h6uva2emWjq4qjwVE%2B9yERIDzJ8Wv8DIjAqF3NZoojx6LhhR6GNbsdhLG0qzXrI0G0GeSp%2Fn4lLGhr9nLro%2F%2FLH8WfNT7YKAwWxC9D9FQUcb70Z%2FD3urVUR1WFxI%2FS7HtULcJo7nWog%2F631gcLN05lPHt7NYr03Dm2clFsY5AxQ9K9fEKVQzJz7dRWGq%2Bxe5JrJQ0fticC8rbjg52l%2BqlTXnoZXmC9AuD8wN2RGb74ceWPeBv1vuQd9TzBMuEWNznhcFjodb2tcdr49VWlsc3c7rtsnxHB0RX8wRy0uKqgs%2F9qa1fiQV7bai0C8qvVFo3xXLgNgxTpFEyYnQ5Gf7bo2SnG6Vq9jSx%2B4btk2iEnZ0dGkmxAx80UP7YWToqktRlgzJ5%2Fx1YDJv8SybQp82bBfM5iygBfhJjaeCWx%2BUd3Zxqnb6juzOQK4qxbMAi5q2V0PRYX6buAgDhYcaQY%2B9V2VB13RmUMNRdfmy2PKD3CTppJiPtxuEjj398JwFJVtfjadwgYtIXLfVN85rz2gCiAG2N4OO%2FeaFViuls5v%2B9d35tKxdxafOmmiqCvGvoYQiuyVoeqK0wqRkshOvY0%2BoAjw3fnGULH%2Bfd3jhVBJhsw4TW65MHJKNSyQ6FmvozNl5QNCAPr%2Bzy7roMK4360gHF%2FET3qmV1RWHI3ne2elkJy%2BWMedRPqmvRG%2F6BPp6Qa3Cl%2F68r%2BLOE%2BttPa%2F3iCHNMuDroBIlr%2BO1yh1iPx3qNkqQcEorObgWkiJmF9ipHjndwVMCSyYHxvELgwY22Z%2FGtwfiSJ33VdtLR8KLHGA7KkgggE%2FwxC5Mf2GgcCT%2B8VLJiW1QhTmWWPW1doPlgs8jySBjqqu%2FaRJAVRIcjxNcioVUTNa1X6zlWXLyfMN2XubMGOrABiyubMVZhIGZsOGhgoymRa3K3%2FNBefQYv9KaQ3YAa0jKWRmxU5bwFEmowo2kiTJtLKRFS9NffxSIkll%2FfVGEXUY%2FjY6505k%2F%2B%2FcOjp2c0pi4Qgn%2B2i63TRo%2Fs6dbaiUFeeLLaW3nGGHPo0DAZPNn3R28gCs5wJCU0hQ5dSqiYUvUEX9Z65ppyuFCvUuyEuz08Y4TH2TcD%2Bko3O7as3rUm%2FHzdHwImWhelYEOHPbnMKDc%3D&X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Date=20240616T032356Z&X-Amz-SignedHeaders=host&X-Amz-Expires=300&X-Amz-Credential=ASIAQ3PHCVTYQC44XH5E%2F20240616%2Fus-east-1%2Fs3%2Faws4_request&X-Amz-Signature=e9634e1d6dbd63b910b8f7277f2d82879c60ce95d73d6b84b88f2092dbbc42b0&hash=12557b062acd3c60e98cdafc89abe299f28f749a59db61e4c6395df9f043c0c8&host=68042c943591013ac2b2430a89b270f6af2c76d8dfd086a07176afe7c76c2c61&pii=S111001682030541X&tid=spdf-53003258-b0f1-4cd2-ad86-6e85c61dd85a&sid=a5759fb166de094ce59b1363e17fc3274a71gxrqb&type=client&tsoh=d3d3LnNjaWVuY2VkaXJlY3QuY29t&ua=0f1f5c5e53510e0154&rr=8947af18ccb813d8&cc=my https://doi.org/10.1016/j.aej.2020.10.023 https://doi.org/10.1016/j.aej.2020.10.023 |
| spellingShingle | QA Mathematics 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 |
| topic | QA Mathematics |
| url | https://repo.uum.edu.my/id/eprint/30893/1/1-s2.0-S111001682030541X-main.pdf https://doi.org/10.1016/j.aej.2020.10.023 |
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