Geometric Fractional Brownian Motion Model for Commodity Market Simulation

• 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

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...