A spin model for the dynamical behavior of the financial market

Authors

  • P. K. C. Malmini Ranasinghe

Abstract

A semi-empirical statistical physics model for the dynamical behavior of stock prices in Sri Lankan financial market was analyzed. In this model, the time evolution of a collective set of stock prices was analyzed using the Hamiltonian of a nearest neighbor Ising model. Monte Carlo simulations were performed and resultant stylized features of the corresponding system were discussed.

Author Biography

  • P. K. C. Malmini Ranasinghe
    Department of Mathematics,University of Sri Jayewardenepura,Nugegoda

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Published

2012-02-15

Issue

Section

Science