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:
http://hanwangquant.blogspot.com/2011/06/flipping-trade-signals.html
引用
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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R2009b
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