Application of the geometric Brownian motion model in West Texas Intermediate crude oil price prediction
Vidya Dwi Pangestika,
Farikhin Farikhin,
Titi Udjiani
Abstract:Crude oil is one of the primary commodities in the global economy. Crude oil prices are among the most complex and challenging to model because of the irregular, non-linear, non-stationary fluctuations in crude oil prices and their high volatility. It is essential to predict crude oil commodity prices to reduce the negative impact of fluctuations in crude oil commodity prices. Several mathematical models can be used to forecast crude oil commodity prices. One model that can be used is the Geometric Brownian Mo… Show more
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