Geometric fractional Brownian motion model for commodity market simulation

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...

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Main Authors: Siti Nur Iqmal Ibrahim, Masnita Misiran, Mohamed Faris Laham
Format: Article
Language:English
Published: Elsevier 2021-02-01
Series:Alexandria Engineering Journal
Subjects:
60J65
62M10
Online Access:http://www.sciencedirect.com/science/article/pii/S111001682030541X
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spelling doaj-db8bb4f9352b4eb2a71f98b8d3dae7f12021-06-02T19:59:46ZengElsevierAlexandria Engineering Journal1110-01682021-02-01601955962Geometric fractional Brownian motion model for commodity market simulationSiti Nur Iqmal Ibrahim0Masnita Misiran1Mohamed Faris Laham2Department of Mathematics, Faculty of Science, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia; Institute for Mathematical Research, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia; Corresponding author at: Department of Mathematics, Faculty of Science, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia.Institute of Strategic Industrial Decision Science Modeling, School of Quantitative Sciences, Universiti Utara Malaysia, 06010 UUM Sintok, Kedah, MalaysiaInstitute for Mathematical Research, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, MalaysiaThe 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.http://www.sciencedirect.com/science/article/pii/S111001682030541X60J6562M10
collection DOAJ
language English
format Article
sources DOAJ
author Siti Nur Iqmal Ibrahim
Masnita Misiran
Mohamed Faris Laham
spellingShingle Siti Nur Iqmal Ibrahim
Masnita Misiran
Mohamed Faris Laham
Geometric fractional Brownian motion model for commodity market simulation
Alexandria Engineering Journal
60J65
62M10
author_facet Siti Nur Iqmal Ibrahim
Masnita Misiran
Mohamed Faris Laham
author_sort Siti Nur Iqmal Ibrahim
title Geometric fractional Brownian motion model for commodity market simulation
title_short 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_sort geometric fractional brownian motion model for commodity market simulation
publisher Elsevier
series Alexandria Engineering Journal
issn 1110-0168
publishDate 2021-02-01
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.
topic 60J65
62M10
url http://www.sciencedirect.com/science/article/pii/S111001682030541X
work_keys_str_mv AT sitinuriqmalibrahim geometricfractionalbrownianmotionmodelforcommoditymarketsimulation
AT masnitamisiran geometricfractionalbrownianmotionmodelforcommoditymarketsimulation
AT mohamedfarislaham geometricfractionalbrownianmotionmodelforcommoditymarketsimulation
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