rTrades: Simulate Multivariate Stock Trade Data

In RMOPI: Risk Management and Optimization for Portfolio Investment

Simulate Multivariate Stock Trade Data

Description

Simulate multivariate stock trade data with assumption that each stock price following Geometric Brownian Motion (GBM). And these prices are interconnected.

Usage

rTrades(
  name,
  time,
  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 names
time	time vector of time, must be "Date" type
start	vector of start positions
mu	vector of mu
sigma	vector of sigma
digits	integer deciding the number of deciamal places

Value

A list of stock trade data with Open, High, Low and Close

Examples

date <- as.Date("2015-01-01") + days(0:29)
rTrades(c("swan", "bear"), date)

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