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Journal : Gema Wiralodra

Application of the geometric Brownian motion model in West Texas Intermediate crude oil price prediction Pangestika, Vidya Dwi; Farikhin, Farikhin; Udjiani , Titi
Gema Wiralodra Vol. 14 No. 3 (2023): Gema Wiralodra
Publisher : Universitas Wiralodra

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31943/gw.v14i3.546

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 Motion model, also known as the Wiener process. In this research, predictions for WTI (West Texas Intermediate) crude oil in 2022 were carried out using the Geometric Brownian Motion model. The results of this research are predictions of crude oil prices for July 2023 with iterations of 100, 200, and 1000, respectively, producing MAPE values of 6.092415%, 7.364198%, and 7.276606%.
Co-Authors A. Haris A. Rusgiyono Acep Irham Gufroni Adi Ariyo Munandar Adi Suliantoro Ahmad Abdul Chamid Ahmad Lubis Ghozali Aprilia, Maita Aris Sugiharto Arnelli Arnelli B. Raharjo Bambang Irawanto Bambang Irawanto Bambang Subeno Bayu Surarso Bayu Surarso Beta Noranita Bibit Waluyo Aji Budi Warsito Carolin Carolin Catur Edi Widodo D. Ispriyanti Didik Setiyo Widodo Dinar Mutiara Kusumo Nugraheni Djuwandi Djuwandi DONNY IRAWAN MUSTABA Dwinta Rahmallah Pulukadang, Dwinta Rahmallah E. Setiawati Erikha Feriyanto Erlin Dwi Endarwati, Erlin Dwi Esti Wijayanti, Esti F. Ariyanto Faozi, Safik Faudin, Arif Nur Fauzi, Irza Nur Feriyanto, Erikha Ferry Jie, Ferry Fitika Andraini H. Sutanto Heny Maslahah, Heny I. Marhaendrajaya Iswahyudi Joko Suprayitno J. E. Suseno Kartono . Keszya Wabang Kusworo Kusworo Laily Rahmania, Laily LM Fajar Israwan, LM Fajar M. Izzati M. Nur Madani, Faiq Mansur Mansur Meryta Febrilian Fatimah, Meryta Febrilian Mustafid Mustafid Neza Zhevira Septiani Nikken Prima Puspita Nikken Prima Puspita Nur Khasanah Oky Dwi Nurhayati Pangestika, Vidya Dwi Pradana, Fadli Dony Prantiastio Prastio, Wahyu Tedi Priyono Priyono Purwanto Purwanto R. Hariyati R. Hastuti Rachmat Gernowo Ratri Wulandari Retno Kusumaningrum Rezki Kurniati, Rezki Rineka Brylian Akbar Satriani Rinta Kridalukmana Robertus Heri Sulistyo Utomo S. Tana Safik Faozi, Safik Satriani, Rineka Brylian Akbar Siti Khabibah Siti Khabibah Sri Wahyuni Sugito Sugito Suhartono Suhartono Sunarsih . Suparti Suparti T. Windarti Titi Udjiani SRRM Toni Prahasto Udjiani , Titi Udjiani S.R.R.M, Titi Usman, Carissa Devina Uswatun Khasanah W. H. Rahmanto Wahyul Amien Syafei Wardani, Novita Koes Wardianto, Wardianto Warsito , Budi Wicaksono, Mahad Wyne Mumtaazah Putri Yosza Dasril Yully Estiningsih Z. Muhlisin