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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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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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spelling my.uum.repo.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
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutional Repository
url_provider http://repo.uum.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Ibrahim, Siti Nur Iqmal
Misiran, Masnita
Laham, Mohamed Faris
Geometric Fractional Brownian Motion Model for Commodity Market Simulation
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
format Article
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
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 Faculty of Engineering, Alexandria University
publishDate 2021
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
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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