Flipping Trade Signals

バージョン (2.67 KB) 作成者: Han
Simulation to explore changing all long trade signals to short on a geometric brownian motion path.
ダウンロード: 691
更新 2011/6/28


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:


Han (2024). Flipping Trade Signals (https://www.mathworks.com/matlabcentral/fileexchange/31948-flipping-trade-signals), MATLAB Central File Exchange. 取得済み .

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Removed incorrect requirement