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All Journal IAES International Journal of Artificial Intelligence (IJ-AI) Jurnal Informatika Seminar Nasional Aplikasi Teknologi Informasi (SNATI) Jurnal Ilmu Komputer dan Informasi Jurnal Sains dan Seni ITS IPTEK Journal of Proceedings Series IPTEK The Journal for Technology and Science Gamatika Prosiding Seminar Matematika dan Pendidikan Matematik JURNAL SOSIAL HUMANIORA (JSH) Semesta Teknika Elkawnie Register: Jurnal Ilmiah Teknologi Sistem Informasi Science and Technology Indonesia Journal of Environment and Sustainability Syntax Literate: Jurnal Ilmiah Indonesia Kinetik: Game Technology, Information System, Computer Network, Computing, Electronics, and Control BAREKENG: Jurnal Ilmu Matematika dan Terapan Limits: Journal of Mathematics and Its Applications International Journal of Computing Science and Applied Mathematics JAIM (Jurnal Abdi Masyarakat) Jurnal Teknologi Dan Sistem Informasi Bisnis Indonesian Journal of Electrical Engineering and Computer Science Majalah Ilmiah Matematika dan Statistika (MIMS) Journal of Applied Data Sciences Journal of Research in Social Science and Humanities COMSERVA: Jurnal Penelitian dan Pengabdian Masyarakat Sewagati Limits: Journal of Mathematics and Its Applications
Mohammad Isa Irawan
Departemen Matematika Institut Teknologi Sepuluh Nopember Surabaya
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Journal : Journal of Applied Data Sciences

 1 
The Model of Carbon Price Risk Prediction in European Markets Using Long Short-Term Memory- Geometric Brownian Motion Pradana, Yan Aditya; Mukhlash, Imam; Irawan, Mohammad Isa; Putri, Endah Rokhmati Merdika; Iqbal, Mohammad
Journal of Applied Data Sciences Vol 6, No 2: MAY 2025
Publisher : Bright Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47738/jads.v6i2.536

Abstract

Accurate carbon market price prediction is one of the fundamentals in assessing the risks associated with carbon trading. Related studies on carbon price prediction were mainly focused on two major approaches: mathematical and/or machine learning models. Geometric Brownian Motion (GBM) is one of the mathematical models that can represent carbon price movements but requires modifying the sample size and the number of parameters for compiling the simulation numerically. Moreover, two critical parameters: (μ) mu and (σ) sigma need to be estimated to simulate the carbon price movements. In this study, the parameters μ and σ estimation are based on the average return value and standard deviation. However, if the carbon price movement is very volatile, we need to recognize its trend and characteristics by estimating the parameters precisely until there is no significant change (or stable) patterns. That is very expensive and may be intractable on high-dimensional data with less precise prediction. Therefore, we propose a hybrid model for carbon price prediction based on GBM with the parameter estimation using the Long Short-Term Memory (LSTM) model. The LSTM model was chosen because it has high accuracy in parameter estimation without losing the characteristics of the GBM stochastic model. Furthermore, Value at Risk (VaR) is utilized to measure the risk of carbon price volatility predictions. The simulation results showed the proposed model has higher prediction accuracy with a not-too-significant time difference, and the model is proven reliable in measuring future risks.
Co-Authors AA. Masroeri Abduh Riski, Abduh Adrianus Bagas Tantyo Dananjaya Akhmad Arif Junaidi Alan Catur Nugraha Alexander Setiawan Alvida Mustika Rukmi Alvida Mustikarukmi Amira, Siti Azza Andreas Handojo Antonio Galileo Tando Arie Dipareza Syafei Arifah, Enny Durratul Auliya Rahmayani Baiq Findiarin Billyan Chyntia Kumalasari Puteri Danang Wahyu Wicaksono Darmaji Darmaji Darmawan, Didiet Edi Satriyanto Ekky Hidma Octia Rahmah Elly Matul Imah Elnora Oktaviyani Gultom Elsen Ronando Erna Apriliani Fendhy Ongko Giandi, Oxsy Ginardi, Raden Venantius Hari Hadi Prasetiya Haloho, Freddi Hartanto Setiawan Hendy Hendy Hendy Hozairi Imam Mukhlash Imam Mukhlash Ira Puspitasari Kadek Eri Mahardika Ketut Buda Artana Khilmy, Akhmad Ku Khalif, Ku Muhammad Naim Mahdiyah, Umi Mardlijah - Mey Lista Tauryawati Mohamad Muhtaromi Mohammad Hamim Zajuli Al Faroby Mohammad Iqbal Mohammad Jamhuri Mohd Aziz, Mohd Khairul Bazli Muchamad Jati Nugroho Muhammad Agung Adi Maulana Muhammad Ahnaf Amrullah Muhammad Athoillah, Muhammad Muhammad Fakhrur Rozi Muhammad Hajarul Aswad Muhammad, Noryanti Mujiono, Edo Priyo Utomo Putro Ni Nyoman Tri Puspaningsih Nugraha, Arma Perwira NURUL HIDAYAT Nurul Hidayat Pratama, Qoria Yudi Putri, Endah R.M. Putri, Endah Rokhmati Merdika Rasyadan Taufiq Probojati Resi Arumin Sani Rita Ambarwati Rita Ambarwati Sukmono Robin Wijaya, Robin Ronando, Elsen Rukmini, Meme Samsul Setumin Santoso Santoso Sepriadi, Robby Setiawan, Muhammad Nanda Shahab, Muhammad Luthfi Siti Maghfiroh Soetrisno Soetrisno Sulastri Sulastri Titin J. Ambarwati Victory Tyas Pambudi Swindiarto YAN ADITYA PRADANA Yongky Ujianto Yuda Dian Harja Zulfa Afiq Fikriya