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  • Last update: 5 years ago
  • Total downloads: 75
  • Operating system: Linux, Mac OS X, Win All, BSD, Solaris
  • Publisher: Han (12 other programs)
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scripts default iconFlipping Trade Signals (Scripts) Publisher's description

Generates GBM curve with specified drift and volatility parameters.

Generates GBM curve with specified drift and volatility parameters.

Trade entries are modeled through a zero-intelligence model assuming a Poisson arrival process for trades conditioned on a set number of trades on the GBM curve.

All credit for the GBM curve generator goes to http://www-math.bgsu.edu/~zirbel/sde/

This code is uploaded for this blog post:

System Requirements:

MATLAB 7.9 (2009b)
Program Release Status: New Release
Program Install Support: Install and Uninstall

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