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 |
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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 |