Modelling Malaysian gold prices using geometric brownian motion model

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Hamdan, Zawin Najah, Ibrahim, Siti Nur Iqmal, Mustafa, Mohd Shafie
Format:	Article
Published:	Union of researchers of Macedonia 2020
Online Access:	http://psasir.upm.edu.my/id/eprint/86790/

Similar Items

Geometric fractional Brownian motion model for commodity market simulation
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2021)

Testing the biased geometric Brownian motion
by: Danswasvong, Thepdanai
Published: (2009)

Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators
by: Balasubramaniam, Srivennila Sri, et al.
Published: (2023)

Geometric Brownian motion and calculation of option premium in black scholes model
by: Mat, Izzati, et al.
Published: (2011)

Effectiveness of geometric brownian motion method in predicting stock prices: evidence from India
by: Krishna Prasad,, et al.
Published: (2022)

Effectiveness of geometric brownian motion method in predicting stock prices: evidence from India
by: Prasad, Krishna, et al.
Published: (2022)

Estimating dynamic geometric fractional brownian motion and its application to long-memory option pricing
by: Misiran, M., et al.
Published: (2012)

Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
by: Che Mat, Basyirah
Published: (2016)

Fuzzy time series and geometric brownian motion in forecasting stock prices in Bursa Malaysia / Nur Ezzati Dayana Mohd Ramli
by: Mohd Ramli, Nur Ezzati Dayana
Published: (2020)

Pricing currency options by generalizations of the mixed fractional brownian motion
by: Shokrollahi, Foad
Published: (2016)

Autocorrelated process control: Geometric Brownian Motion approach versus Box-Jenkins approach
by: Salleh, R. M., et al.
Published: (2018)

Pricing currency option in a mixed fractional Brownian motion with jumps environment
by: Shokrollahi, Foad, et al.
Published: (2014)

Integrating cluster analysis, geometric brownian motion and analytic hierarchy process in capital allocation / Siti Nazifah Zainol Abidin
by: Zainol Abidin, Siti Nazifah
Published: (2014)

Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
by: S. N. I., Ibrahim, et al.
Published: (2022)

The valuation of currency options by fractional Brownian motion
by: Shokrollahi, Foad, et al.
Published: (2016)

Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
by: Shokrollahi, Foad, et al.
Published: (2015)

Optimal Filtering of Linear System Driven by Fractional Brownian Motion
by: Misiran, Masnita, et al.
Published: (2010)

Performance of Brownian-Motion-Generated universal portfolios during covid-19 pandemic
by: Khor, Wei Sheng
Published: (2022)

Modeling rubber prices as a GBM process
by: Ibrahim, Siti Nur Iqmal
Published: (2016)

Modelling gold price using ARIMA-TGARCH
by: Siti Roslindar, Yaziz, et al.
Published: (2016)

Incorporating long memory into the modeling of gold prices
by: Rashid, S. F. A., et al.
Published: (2024)

Innovations in the ARIMA - GARCH Modeling in Forecasting Gold Price
by: Siti Roslindar, Yaziz, et al.
Published: (2014)

Model-based image analysis of a tethered Brownian fibre for shear stress sensing
by: Gallagher, M. T., et al.
Published: (2017)

The impact of geometric and motion features on sign language translators
by: Bilal, Sara Mohammed Osman Saleh, et al.
Published: (2015)

Slice sampling technique in Bayesian extreme of gold price modelling
by: Rostami, Mohammad, et al.
Published: (2013)

The Performance of Hybrid ARIMA-GARCH Modeling in Forecasting Gold Price
by: Siti Roslindar, Yaziz, et al.
Published: (2013)

ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price
by: Siti Roslindar, Yaziz, et al.
Published: (2019)

Geometric and Mechanical Modelling of Textiles
by: Sherburn, Martin
Published: (2007)

Geometrical modelling of braided textiles
by: Thompson, Matthew
Published: (2023)

Prices in Motion: Schumpeter’s Contribution to Price Theory
by: Bloch, Harry
Published: (2014)

A review on Black-Scholes model in pricing warrants in Bursa Malaysia
by: Indra Gunawan, Nur Izzaty Ilmiah, et al.
Published: (2016)

Reliable gold price predictor
by: Siti Roslindar, Yaziz, et al.
Published: (2018)

Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price
by: Siti Roslindar, Yaziz, et al.
Published: (2015)

Comparison of ARIMA model and Artificial Neural Network in forecasting gold price
by: Uh, Bing Hong, et al.
Published: (2021)

Prices in Motion: Towards a Schumpeterian Price Theory
by: Bloch, Harry
Published: (2016)

MSG384 - Introduction to Geometric Modelling
by: PPSM, Pusat Pengajian Sains Matematik
Published: (2022)

MSG384 – Introduction to Geometric Modelling
by: PPSM, Pusat Pengajian Sains Matematik
Published: (2024)

An overview of global gold market and gold price forecasting
by: Shafiee, S., et al.
Published: (2010)

Drivers Affecting The Gold Price
by: Bhuptani, Vinit
Published: (2009)

Determinants of gold price in Malaysia
by: Lee, Zizun
Published: (2017)