Simulate a time series of stock price using Monte-Carlo simulations
조회 수: 7 (최근 30일)
이전 댓글 표시
Hy everyone, I need to compute a time series of stock price assuming that they are driven by a random walk. What would be the best way to approach the problem, i.e. the right function to do so? I should replicate it 10.000 times (N=10.000).
thanks for the help.
댓글 수: 4
Rick Rosson
2016년 3월 8일
편집: Rick Rosson
2016년 3월 8일
A few additional points:
- Remember to put something in your code to prevent the stock price from falling below 0.
- Also, in the real-world, stock prices tend to drift higher over time, so the assumption of a zero mean is not realistic. The mean should be a positive number, although possibly quite small in relative terms. Furthermore, the size of the mean is usually proportional to the current price of the stock, as is the standard deviation.
- It might be interesting to consider the relative sizes of the mean versus the standard deviation of the net change per period.
채택된 답변
Rick Rosson
2016년 3월 8일
편집: Rick Rosson
2016년 3월 8일
Here is some code to get you started:
N = 10000;
P = nan(N,1);
P(1) = ...
for k = 2:N
P(k) = P(k-1) + ...
end
figure;
plot(P);
댓글 수: 0
추가 답변 (0개)
참고 항목
카테고리
Help Center 및 File Exchange에서 Monte-Carlo에 대해 자세히 알아보기
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!