ENHANCING LIQUIDITY MANAGEMENT EFFICIENCY IN JOINT-STOCK COMPANIES USING THE GEOMETRIC BROWNIAN MOTION (GBM) MODEL
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https://doi.org/10.5281/zenodo.19601918##article.subject##:
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, simulation##article.abstract##
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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