rGbms: Simulate Multivariate Stocks Prices Data

In RMOPI: Risk Management and Optimization for Portfolio Investment

Simulate Multivariate Stocks Prices Data

Description

Simulate multivariate prices for interconnected stocks with each price series following Geometric Brownian Motion (GBM).

Usage

rGbms(
  name,
  len,
  start = c(1000, 1000),
  mu = rep(1e-04, 2),
  sigma = matrix(c(2e-04, 1e-04, 1e-04, 2e-04), 2, 2),
  digits = 2
)

Arguments

name	vector of series names
len	the length
start	vector of start positions
mu	vector of mu
sigma	vector of sigma
digits	integer deciding the number of decimal places

Value

A simulated multivariate GBM series with each series interconnected

Examples

rGbms(c("bear", "tiger"), len = 36)

RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.