On the Validity of the Geometric Brownian Motion Assumption
| dc.contributor.author | Marathe, Rahul | |
| dc.contributor.author | Ryan, Sarah | |
| dc.contributor.department | Industrial and Manufacturing Systems Engineering | |
| dc.date | 2018-02-16T10:09:10.000 | |
| dc.date.accessioned | 2020-06-30T04:48:42Z | |
| dc.date.available | 2020-06-30T04:48:42Z | |
| dc.date.copyright | Sat Jan 01 00:00:00 UTC 2005 | |
| dc.date.issued | 2005-01-01 | |
| dc.description.abstract | <p>The geometric Brownian motion (GBM) process is frequently invoked as a model for such diverse quantities as stock prices, natural resource prices and the growth in demand for products or services. We discuss a process for checking whether a given time series follows the GBM process. Methods to remove seasonal variation from such a time series are also analyzed. Of four industries studied, the historical time series for usage of established services meet the criteria for a GBM; however, the data for growth of emergent services do not.</p> | |
| dc.description.comments | <p>The Version of Record of this manuscript has been published and is available in Engineering Economist 2005, <a href="http://dx.doi.org/10.1080/00137910590949904" target="_blank">http://www.tandfonline.com/10.1080/00137910590949904</a>. Posted with permission.</p> | |
| dc.format.mimetype | application/pdf | |
| dc.identifier | archive/lib.dr.iastate.edu/imse_pubs/25/ | |
| dc.identifier.articleid | 1025 | |
| dc.identifier.contextkey | 7140332 | |
| dc.identifier.s3bucket | isulib-bepress-aws-west | |
| dc.identifier.submissionpath | imse_pubs/25 | |
| dc.identifier.uri | https://dr.lib.iastate.edu/handle/20.500.12876/44542 | |
| dc.language.iso | en | |
| dc.source.bitstream | archive/lib.dr.iastate.edu/imse_pubs/25/2005_RyanSM_OnValidityGeometric.pdf|||Fri Jan 14 22:55:51 UTC 2022 | |
| dc.source.uri | 10.1080/00137910590949904 | |
| dc.subject.disciplines | Industrial Engineering | |
| dc.subject.disciplines | Systems Engineering | |
| dc.subject.keywords | engineering economics | |
| dc.subject.keywords | geometric Brownian motion (GBM) | |
| dc.subject.keywords | lognormal growth | |
| dc.subject.keywords | stock procies | |
| dc.subject.keywords | chemical industry | |
| dc.subject.keywords | electric utilities | |
| dc.subject.keywords | industrial economics | |
| dc.subject.keywords | industrial engineering | |
| dc.subject.keywords | Brownian movement | |
| dc.title | On the Validity of the Geometric Brownian Motion Assumption | |
| dc.type | article | |
| dc.type.genre | article | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 22d808f1-c309-4cb1-8d3e-14c57a6b96a9 | |
| relation.isOrgUnitOfPublication | 51d8b1a0-5b93-4ee8-990a-a0e04d3501b1 |
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