Simulate a time series of stock price using Monte-Carlo simulations

5 visualizaciones (últimos 30 días)
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.
  4 comentarios
Rick Rosson
Rick Rosson el 8 de Mzo. de 2016
Editada: Rick Rosson el 8 de Mzo. de 2016
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.

Iniciar sesión para comentar.

Respuesta aceptada

Rick Rosson
Rick Rosson el 8 de Mzo. de 2016
Editada: Rick Rosson el 8 de Mzo. de 2016
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);

Más respuestas (0)

Categorías

Más información sobre Monte-Carlo en Help Center y File Exchange.

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by