discrete_walk: Discrete Sampled Walk

In RandomWalker: Generate Random Walks Compatible with the 'tidyverse'

Discrete Sampled Walk

Description

The discrete_walk function generates multiple random walks over discrete time periods. Each step in the walk is determined by a probabilistic sample from specified upper and lower bounds. This function is useful for simulating stochastic processes, such as stock price movements or other scenarios where outcomes are determined by a random process.

Usage

discrete_walk(
  .num_walks = 25,
  .n = 100,
  .upper_bound = 1,
  .lower_bound = -1,
  .upper_probability = 0.5,
  .initial_value = 100
)

Arguments

.num_walks	Total number of simulations.
.n	Total time of the simulation.
.upper_bound	The upper bound of the random walk.
.lower_bound	The lower bound of the random walk.
.upper_probability	The probability of the upper bound. Default is 0.5. The lower bound is calculated as 1 - .upper_probability.
.initial_value	The initial value of the random walk. Default is 100.

Details

The function discrete_walk simulates random walks for a specified number of simulations (.num_walks) over a given total time (.n). Each step in the walk is either the upper bound or the lower bound, determined by a probability (.upper_probability). The initial value of the walk is set by the user (.initial_value), and the cumulative sum, product, minimum, and maximum of the steps are calculated for each walk. The results are returned in a tibble with detailed attributes, including the parameters used for the simulation.

Value

A tibble containing the simulated walks, with columns for the walk number, time period, and various cumulative metrics (sum, product, min, max).

Author(s)

Steven P. Sanderson II, MPH

See Also

Other Generator Functions: brownian_motion(), geometric_brownian_motion(), random_normal_drift_walk(), random_normal_walk()

Examples

library(ggplot2)

set.seed(123)
discrete_walk()

set.seed(123)
discrete_walk(.num_walks = 10, .n = 250, .upper_probability = 0.51,
.initial_value = 100) |>
visualize_walks()

RandomWalker documentation built on Oct. 23, 2024, 5:07 p.m.