Title :
Geometric Brownian Motion with Ito´s lemma approach to evaluate market fluctuations: A case study on Colombo Stock Exchange
Author :
Rathnayaka, R. M. Kapila Tharanga ; Wei Jianguo ; Seneviratna, D.M.K.N.
Author_Institution :
Sch. of Econ., Wuhan Univ. of Technol., Wuhan, China
Abstract :
The data forecasting in economical time series provides a significant guidance for making decisions in the financial markets today. It can be widely applied for solving economic problems with uncertainty and instability patterns. Forecasting high volatile fluctuations with instability behavioral patterns make complicated problems in stock markets around the world today. The main focus of this study is to develop a forecasting model based on Geometric Brownian Motion approach for estimating share price indices in short-term investments in the Colombo Stock Exchange (CSE), Sri Lanka. Furthermore, traditional ARIMA approach was used to compare the predictions. The results reveal that, the new proposed model is more significant for investors in making their investment decisions wisely.
Keywords :
Brownian motion; autoregressive moving average processes; decision making; economics; forecasting theory; investment; share prices; stock markets; time series; ARIMA approach; CSE; Colombo Stock Exchange; Ito´s lemma approach; data forecasting; economic problems; economical time series; financial markets; geometric Brownian motion; high volatile fluctuation forecasting; instability behavioral patterns; instability pattern; investment decision making; market fluctuation evaluation; share price index estimation; short-term investments; stock markets; uncertainty pattern; Autoregressive processes; Equations; Fluctuations; Forecasting; Mathematical model; Predictive models; Stock markets; ARIMA; ASPI and SAP; CSE; Geometric Brownian Motion;
Conference_Titel :
Behavior, Economic and Social Computing (BESC), 2014 International Conference on
DOI :
10.1109/BESC.2014.7059517
