Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators
This research focuses on the simulation of rubber prices using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM). An analysis of the Hurst values estimated using three different methods, namely, rescaled range analysis, aggravate variance, and residuals of regression. T...
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| Format: | Article |
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Universiti Teknologi Malaysia
2023
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| Online Access: | http://psasir.upm.edu.my/id/eprint/109172/ |
| _version_ | 1848865302193897472 |
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| author | Balasubramaniam, Srivennila Sri Ibrahim, Siti N. |
| author_facet | Balasubramaniam, Srivennila Sri Ibrahim, Siti N. |
| author_sort | Balasubramaniam, Srivennila Sri |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This research focuses on the simulation of rubber prices using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM). An analysis of the Hurst values estimated using three different methods, namely, rescaled range analysis, aggravate variance, and residuals of regression. These methods are based on the slope deviation technique. An error estimation via Mean Absolute Percentage Error (MAPE) is computed to analyse the accuracy of the simulation models which shows that the GBM is highly accurate over a 120-day period, and as the number of days increases, the accuracy decreases. Moreover, the rescaled range analysis method can estimate the Hurst values for all five ranges of days in comparison to the residuals of regression and the aggregate variance methods. The rescaled range analysis method also able to produce a highly accurate simulation up to 150-day. |
| first_indexed | 2025-11-15T14:02:33Z |
| format | Article |
| id | upm-109172 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T14:02:33Z |
| publishDate | 2023 |
| publisher | Universiti Teknologi Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-1091722024-08-27T04:58:40Z http://psasir.upm.edu.my/id/eprint/109172/ Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators Balasubramaniam, Srivennila Sri Ibrahim, Siti N. This research focuses on the simulation of rubber prices using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM). An analysis of the Hurst values estimated using three different methods, namely, rescaled range analysis, aggravate variance, and residuals of regression. These methods are based on the slope deviation technique. An error estimation via Mean Absolute Percentage Error (MAPE) is computed to analyse the accuracy of the simulation models which shows that the GBM is highly accurate over a 120-day period, and as the number of days increases, the accuracy decreases. Moreover, the rescaled range analysis method can estimate the Hurst values for all five ranges of days in comparison to the residuals of regression and the aggregate variance methods. The rescaled range analysis method also able to produce a highly accurate simulation up to 150-day. Universiti Teknologi Malaysia 2023-01 Article PeerReviewed Balasubramaniam, Srivennila Sri and Ibrahim, Siti N. (2023) Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators. Malaysian Journal of Fundamental and Applied Sciences, 19 (1). pp. 93-102. ISSN 2289-5981; ESSN: 2289-599X https://mjfas.utm.my/index.php/mjfas/article/view/2793 10.11113/mjfas.v19n1.2793 |
| spellingShingle | Balasubramaniam, Srivennila Sri Ibrahim, Siti N. Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators |
| title | Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators |
| title_full | Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators |
| title_fullStr | Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators |
| title_full_unstemmed | Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators |
| title_short | Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators |
| title_sort | simulating rubber prices under geometric fractional brownian motion with different hurst estimators |
| url | http://psasir.upm.edu.my/id/eprint/109172/ http://psasir.upm.edu.my/id/eprint/109172/ http://psasir.upm.edu.my/id/eprint/109172/ |