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Modelling Malaysian gold prices using geometric brownian motion model

In this study, we use geometric Brownian motion, a mathematical model, to represent the future price path for Malaysian gold prices, namely Kijang Emas. We estimate the unknown parameters in the model, and we illustrate the accuracy of this method using a simulation method. The results obtained show...

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Main Authors: Hamdan, Zawin Najah, Ibrahim, Siti Nur Iqmal, Mustafa, Mohd Shafie
Format: Article
Published: Union of researchers of Macedonia 2020
Online Access:http://psasir.upm.edu.my/id/eprint/86790/
https://www.research-publication.com/amsj/all-issues/vol-09/iss-09
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spelling my.upm.eprints.867902024-05-09T03:21:45Z http://psasir.upm.edu.my/id/eprint/86790/ Modelling Malaysian gold prices using geometric brownian motion model Hamdan, Zawin Najah Ibrahim, Siti Nur Iqmal Mustafa, Mohd Shafie In this study, we use geometric Brownian motion, a mathematical model, to represent the future price path for Malaysian gold prices, namely Kijang Emas. We estimate the unknown parameters in the model, and we illustrate the accuracy of this method using a simulation method. The results obtained show that the proposed model is accurate by means of calculating the mean-absolute percentage error (MAPE) and forecast accuracy Union of researchers of Macedonia 2020 Article PeerReviewed Hamdan, Zawin Najah and Ibrahim, Siti Nur Iqmal and Mustafa, Mohd Shafie (2020) Modelling Malaysian gold prices using geometric brownian motion model. Advances in Mathematics: Scientific Journal, 9 (9). 7463 - 7469. ISSN 1857-8365; ESSN: 1857-8438 https://www.research-publication.com/amsj/all-issues/vol-09/iss-09 10.37418/amsj.9.9.92
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
description In this study, we use geometric Brownian motion, a mathematical model, to represent the future price path for Malaysian gold prices, namely Kijang Emas. We estimate the unknown parameters in the model, and we illustrate the accuracy of this method using a simulation method. The results obtained show that the proposed model is accurate by means of calculating the mean-absolute percentage error (MAPE) and forecast accuracy
format Article
author Hamdan, Zawin Najah
Ibrahim, Siti Nur Iqmal
Mustafa, Mohd Shafie
spellingShingle Hamdan, Zawin Najah
Ibrahim, Siti Nur Iqmal
Mustafa, Mohd Shafie
Modelling Malaysian gold prices using geometric brownian motion model
author_facet Hamdan, Zawin Najah
Ibrahim, Siti Nur Iqmal
Mustafa, Mohd Shafie
author_sort Hamdan, Zawin Najah
title Modelling Malaysian gold prices using geometric brownian motion model
title_short Modelling Malaysian gold prices using geometric brownian motion model
title_full Modelling Malaysian gold prices using geometric brownian motion model
title_fullStr Modelling Malaysian gold prices using geometric brownian motion model
title_full_unstemmed Modelling Malaysian gold prices using geometric brownian motion model
title_sort modelling malaysian gold prices using geometric brownian motion model
publisher Union of researchers of Macedonia
publishDate 2020
url http://psasir.upm.edu.my/id/eprint/86790/
https://www.research-publication.com/amsj/all-issues/vol-09/iss-09
_version_ 1800093761236107264
score 13.211869

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