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...
| Main Authors: | , , |
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| Format: | Article |
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Union of researchers of Macedonia
2020
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| Online Access: | http://psasir.upm.edu.my/id/eprint/86790/ |
| _version_ | 1848860288131006464 |
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| author | Hamdan, Zawin Najah Ibrahim, Siti Nur Iqmal Mustafa, Mohd Shafie |
| author_facet | Hamdan, Zawin Najah Ibrahim, Siti Nur Iqmal Mustafa, Mohd Shafie |
| author_sort | Hamdan, Zawin Najah |
| building | UPM Institutional Repository |
| collection | Online Access |
| 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 |
| first_indexed | 2025-11-15T12:42:51Z |
| format | Article |
| id | upm-86790 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T12:42:51Z |
| publishDate | 2020 |
| publisher | Union of researchers of Macedonia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-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 |
| spellingShingle | Hamdan, Zawin Najah Ibrahim, Siti Nur Iqmal Mustafa, Mohd Shafie Modelling Malaysian gold prices using geometric brownian motion model |
| title | 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_short | Modelling Malaysian gold prices using geometric brownian motion model |
| title_sort | modelling malaysian gold prices using geometric brownian motion model |
| url | http://psasir.upm.edu.my/id/eprint/86790/ http://psasir.upm.edu.my/id/eprint/86790/ http://psasir.upm.edu.my/id/eprint/86790/ |