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All Journal International Journal of Electrical and Computer Engineering Jurnal Sains dan Seni ITS Bulletin of Electrical Engineering and Informatics Bulletin of Electrical Engineering and Informatics Jurnal Ilmiah Kursor Sinergi Register: Jurnal Ilmiah Teknologi Sistem Informasi Bulletin of Electrical Engineering and Informatics Science and Technology Indonesia JAIM (Jurnal Abdi Masyarakat) Jurnal Borneo Saintek Indonesian Journal of Electrical Engineering and Computer Science Contemporary Mathematics and Applications (ConMathA) Majalah Ilmiah Matematika dan Statistika (MIMS) Journal of Applied Data Sciences Sewagati Limits: Journal of Mathematics and Its Applications Scientific Contributions Oil and Gas International Journal of Computing Science and Applied Mathematics-IJCSAM
Imam Mukhlash
Departemen Matematika Institut Teknologi Sepuluh Nopember
Agriculture, Biological Sciences & Forestry Arts Humanities Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Materials Science & Nanotechnology Mathematics Nursing Physics Public Health Social Sciences Other

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The Model of Carbon Price Risk Prediction in European Markets Using Long Short-Term Memory- Geometric Brownian Motion Yan Aditya Pradana; Imam Mukhlash; Mohammad Isa Irawan; Endah Rokhmati Merdika Putri; Mohammad Iqbal
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 Acep Taryana, Acep Agung Purniawan Akhmad Arif Junaidi Alvida Mustika Rukmi Anang Kunaefi, Anang Arifah, Enny Durratul Bijan Davvaz Bijan Davvaz Budi Setiyono Daniel Happy Putra Desna Yuanda Dieky Adzkiya Dimas Anton Asfani Duddy Soegiarto Dwi Fitriaini Nur Anisa Dwi Sunaryono Endah R.M. Putri Endah Rokhmati Merdika Putri Firda Puspita Devi Haris Prasetyo Hendy I Gst Ngr Rai Usadha Inu L. Wibowo Inu Laksito Wibowo Inu Laksito Wibowo Inu Laksito Wibowo Kartika Mahanani Kartika Mahanani Lailatul M. Chaira Lailatul Mabadi Chaira Laras Binarwati Meyrina Herawati Moh Khoiron Moh Khoiron Mohammad Iqbal Mohammad Iqbal Mohammad Iqbal Mohammad Iqbal Mohammad Isa Irawan Mohammad Jamhuri Mufid, Muhammad Syifa'ul Muhammadun Muhammadun Muhammadun Muhammadun Muhammadun Mujiono, Edo Priyo Utomo Putro Ni Nyoman Tri Puspaningsih Nurul Hidayat Nurul Hidayat Nurul Hidayat Nurul Hidayati Putri, Endah R.M. Putri, Endah Rokhmati Merdika Rasyadan Taufiq Probojati Rifdy Fachry Riyanarto Sarno Rukmini, Meme Seno Adi Putra Setumin, Samsul Shinta Tri Kismanti Soedjatmiko Soetrisno Soetrisno Soetrisno Soetrisno Soetrisno Soleha Soleha Soleha2 Suhud Wahyudi Supriyono, Joko Tri Wahono Widya Nilam Rumana Yan Aditya Pradana YAN ADITYA PRADANA