Modelling Malaysian Gold Prices Using Geometric Brownian Motion Model

Abstract

Heat and mass transfer effects of Casson fluid in the entrance of concentric annuli with moviment of inner wall was analyzed here. The problem analysis concerns the simultaneous development of thermal boundary layers and hydrodynamic in concentric walls, one ring is isothermal and the other wall being adiabatic. With the assumption that the inner ring rotates with a fixed angular velocity, also the outer ring is at rest. The finite difference technique is applied to find the velocity Profiles, variation of pressure in the radial coordinate direction and temperature changes in the same direction. Calculation results are obtained for different annular gap values, Casson number and Prandtl's number. The comparison of the results for different special cases was made and observed.

Obtaining Accurate Gold Prices

“…Given that the hypothesis cannot be rejected, the difference in the means of the two price series are tested assuming no differences in the variances. The test's statistic is a t-stat, estimated, as shown in Equation ( 14), using the pooled variance estimated using Equation (13). The pooled variances, test statistics, critical value of the test statics, as well as the p-values are presented in Table 3.…”

“…Refs. [11][12][13] used GBM to model gold prices, but this current manuscript differs from them in terms of its methodological approach to using GBM, the sample period, and the data frequency utilized to obtain accurate gold prices.…”

“…Ref. [13] used GBM to obtain the price paths of Kijan Emas, the Malaysian gold bullion coin, for the year 2016, between the fourth of January and December thirtieth, from Bank Negara Malaysia's website. While their results show that their methodology produced accurate forecasts for a short period of time, they also mention that forecasts could be inaccurate if intended for a window of time beyond one month.…”

“…Refs. [11][12][13] model gold prices using GBM. This article contributes to our understanding of the modeling of gold prices by providing a GBM approach that provides reliable forecasts.…”

Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion

“…Since then, authors have used the GBM to simulate stock price pathways and examine whether the simulated stock prices match the actual market returns [48,49]. While the majority of these studies focus on stock prices, others have discovered that commodity prices, such as crude palm oil [50], petroleum products and natural gas [51], gold [52], and other commodities, exhibit randomness that can be explained mathematically using the GBM model.…”