Geometric Brownian Motion with Ito's lemma approach to evaluate market fluctuations: A case study on Colombo Stock Exchange.
R. M. Kapila Tharanga RathnayakaJianguo WeiD. M. K. N. SeneviratnaPublished in: BESC (2014)
Keyphrases
- stock exchange
- brownian motion
- transaction costs
- stock price
- stock market
- differential equations
- financial data
- stochastic process
- optimal control
- diffusion process
- black scholes
- poisson process
- heavy traffic
- stochastic processes
- vector valued
- financial time series
- chinese stock market
- investment strategies
- queue length
- closed form solutions
- non stationary
- inventory level
- steady state
- dynamic programming
- arrival rate
- exchange rate
- heavy tailed
- markov chain