Modeling Asset Price Dynamics

P. K. C. Malmini Ranasinghe


We model the price prediction in Sri Lankan stock market using Ising model and some recent developments in statistical physics techniques. In contrast to usual agent-models, the influence does not flow inward from the surrounding neighbors to the centre, but spreads outward from the center to the neighbors. Monte Carlo simulations were used to study this problem. The analysis was based on All share price index, Milanka price index in Colombo Stock Exchange and Simulated Price Process. The monthly and daily influences of the above indices to the Sri Lankan economy were also investigated. The model thus describes the spread of opinions traders.

Full Text:



  • There are currently no refbacks.

Creative Commons Licence
Ruhuna Journal of Science by University of Ruhuna is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

eISSN: 2536-8400

Print ISSN: 1800-279X (Before 2014)