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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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Bibliographic Details
Main Authors: Ibrahim, Siti Nur Iqmal, Misiran, Masnita, Laham, Mohamed Faris
Format: Article
Language:English
Published: Faculty of Engineering, Alexandria University 2021
Subjects:
QA Mathematics
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
https://repo.uum.edu.my/id/eprint/30893/
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
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Internet

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
https://repo.uum.edu.my/id/eprint/30893/
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

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