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

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Abstract

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

Item Type:	Article
Uncontrolled Keywords:	Stochastic model; Regression; Data analysis; Crude palm oil
Subjects:	Q Science > QA Mathematics
Divisions:	School of Quantitative Sciences
Depositing User:	Mdm. Sarkina Mat Saad @ Shaari
Date Deposited:	23 Jun 2024 08:33
Last Modified:	23 Jun 2024 08:33
URI:	https://repo.uum.edu.my/id/eprint/30893

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