Abstract:
The Brownian motion is a Mathematical concept which European botanist Robert Brown
introduced in 1827 to study the behaviour of molecules. The Brownian motion concept was
transformed into many versions, and Geometric Brownian Motion (GBM) and Geometric
Fractional Brownian Motion (GFBM) is the latest transformation of this concept. The GBM
and GFBM are mathematical models used to forecast prices of stocks, commodities, etc. In
this study, the GBM and GFBM were tested to estimate the share prices of
telecommunication industry companies in Sri Lanka. The two sample companies were
selected by representing 18% of the population of the telecommunication industry group. The
five-year share prices were collected from sample companies: Sri Lanka Telecom PLC and
Dialog Axiata PLC. The two models were implemented by estimating parameters such as the
drift, the volatility, probability measurement and the time interval. In addition, the Hurst
component was generated by a MATLAB program for GFBM. This study is concluded that
GBM is the most accurate model for forecasting share prices of the telecommunication
industry group with minimum mean absolute percentage error (MAPE).
Citation:
Athukorala, A.K.K.K. (2022). Applicability of geometric brownian motion and geometric fractional brownian motion to forecast share prices of telecommunication services sector in Sri Lanka [Master's theses, University of Moratuwa]. Institutional Repository University of Moratuwa. http://dl.lib.uom.lk/handle/123/21547