Flipping Trade Signals
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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/f...de-signals.html
Free download from Shareware Connection - 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.
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 14-02-2013 | Rating: 0 | Title: Flipping Trade Signals
Author Url: http://www.luckhan.com
Program Info Url: http://www.luckhan.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/31948/2/GBM_Sim.zip
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