ENHANCING LIQUIDITY MANAGEMENT EFFICIENCY IN JOINT-STOCK COMPANIES USING THE GEOMETRIC BROWNIAN MOTION (GBM) MODEL
DOI:
https://doi.org/10.5281/zenodo.19601918Keywords:
Geometric Brownian Motion (GBM), cash flows, liquidity management, volatility, Monte Carlo simulation, Cash Flow at Risk (CFaR), 3σ risk model, reserve buffers, current financial stability, forecasting, simulationAbstract
The scientific article studies the effectiveness of using the Geometric Brownian Motion (GBM) model, which
is considered one of the modern methods for effective liquidity management in joint-stock business entities. The article
empirically analyzes the nature of random fluctuations in cash flows and their volatility based on a probabilistic-statistical
approach. In the case of “Qizilqumsement” JSC, logarithmic growth rates and GBM parameters (μ and σ) were estimated
based on data for 2017–2024. A cash flow forecast simulation for 2025–2035 was developed using Monte Carlo simulation
(1000 scenarios). As a result, it was proven that high volatility and a negative trend in cash flows were observed and that
it is necessary to introduce buffer mechanisms to manage liquidity risks
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