Forecasting the financial times stock exchange Bursa Malaysia Kuala Lumpur Composite Index using Geometric Brownian Motion / Teoh Yeong Kin, Suzanawati Abu Hasan and Nashni Hamdan

Teoh, Yeong Kin and Abu Hasan, Suzanawati and Hamdan, Nashni (2017) Forecasting the financial times stock exchange Bursa Malaysia Kuala Lumpur Composite Index using Geometric Brownian Motion / Teoh Yeong Kin, Suzanawati Abu Hasan and Nashni Hamdan. Journal of Computing Research and Innovation (JCRINN), 2 (1). pp. 45-49. ISSN 2600-8793

Abstract

In Malaysia, Financial Times Stock Exchange (FTSE) of Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) provides charts, companies’ profile and other market data to help the local and foreign investors to make decisions involving their investments. Until now, there have been a lot of investors who faced losses due to making wrong investments at wrong times. The objective of this study is to forecast FBMKLCI for a one - month period using different periods of data. Besides, this study finds the suitable length of period when the forecasted values are the most accurate for FBMKLCI. Geometric Brownian motion (GBM) of stochastic calculus is used to predict the future indices. The results showed that the forecasted FBMKLCI needed 1 to 20 weeks of input data to come out with the best values. The forecasted FBMKLCI will only be accurate within 4 weeks; after that the values will diverge. Since the average value of MAPE for eight different forecasted values is 1.54%, GBM can be used to predict the future FBMKLCI.

Metadata

Item Type: Article
Creators:
Creators
Email / ID Num.
Teoh, Yeong Kin
UNSPECIFIED
Abu Hasan, Suzanawati
UNSPECIFIED
Hamdan, Nashni
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock price indexes. Stock quotations
Q Science > QA Mathematics > Mathematical statistics. Probabilities > Prediction analysis
Q Science > QA Mathematics > Time-series analysis
Divisions: Universiti Teknologi MARA, Perlis > Arau Campus > Faculty of Computer and Mathematical Sciences
Journal or Publication Title: Journal of Computing Research and Innovation (JCRINN)
UiTM Journal Collections: UiTM Journal > Journal of Computing Research and Innovation (JCRINN)
ISSN: 2600-8793
Volume: 2
Number: 1
Page Range: pp. 45-49
Keywords: FTSE, FBMKLCI, geometric Brownian motion, MAPE
Date: 2017
URI: https://ir.uitm.edu.my/id/eprint/53997
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