Description Usage Arguments Value Note Author(s) References See Also Examples
Using when you need a series of price to do back-testing.
This function using normal return model to simulate price.
Related report: Value at Risk.<researchgate.net>
1 |
s0 |
The initial price or the price at the first day. |
mu |
Expected (or drift) of return. |
sigma |
Standard deviation (or volatility) of return. |
m |
Number of observations. |
An array of price.
viet-hung.vu@jvn.edu.vn
Hung Vu
Value at Risk.(reserchgate.net)
https://www.researchgate.net/profile/Vu_Hung4
1 2 3 4 5 |
[1] 101.09053 100.43528 100.22520 110.35731 89.84085 117.57433 96.16814
[8] 92.51182 89.59717 79.36701 88.06510 98.39552 101.51360 94.29838
[15] 109.83000 100.78243 93.57484 91.46761 95.54548 109.39752 97.07426
[22] 108.86291 96.54824 113.01487 94.83395 116.21406 92.76368 91.66140
[29] 99.23187 99.19154 108.10172 88.39885 102.50144 105.74637 100.90605
[36] 97.23069 92.71079 104.79905 76.55743 109.31546 96.93045 88.53417
[43] 101.82447 83.77719 94.40235 96.55167 101.84691 83.72031 110.86105
[50] 101.44216 105.60231 85.46595 93.78672 112.38754 96.32624 101.71181
[57] 96.76003 96.98723 123.49061 100.54788 110.24524 114.86325 89.65249
[64] 103.33964 101.13773 95.52525 123.31205 108.42096 113.71509 95.05943
[71] 108.32087 140.67271 112.36453 116.17049 89.61670 100.80875 102.90261
[78] 94.15111 122.29519 104.77804 95.13710 98.61407 94.11738 96.95397
[85] 111.70773 97.77558 87.81817 89.47164 93.66587 90.65264 103.69068
[92] 97.30447 94.97180 86.83554 80.01406 104.83246 120.20692 103.61709
[99] 91.81083 101.73097 115.32174 110.28183 92.59823 100.99026 83.70942
[106] 114.00540 105.84847 107.17178 121.13327 104.19005 91.33804 102.37060
[113] 124.02218 101.38518 95.75947 124.91792 109.50084 98.82505 107.72425
[120] 106.45375 97.91715 93.35351 102.42609 101.42710 107.02442 93.09540
[127] 83.52371 106.76197 118.59350 108.21787 98.79048 97.17382 92.93312
[134] 91.37967 105.49607 92.89374 115.11993 91.23865 96.61719 103.39481
[141] 107.01843 97.62253 103.11941 117.29297 93.84292 96.09958 96.66359
[148] 103.39133 103.71465 106.45595 103.03246 96.81627 82.35714 89.90977
[155] 95.42201 92.39615 107.58013 108.44966 83.18512 102.29743 114.47952
[162] 97.92535 96.87796 101.47015 92.51398 78.92065 107.21370 92.42261
[169] 95.60745 99.42913 103.13519 104.18907 103.06068 106.16434 112.20270
[176] 123.74124 95.12767 109.66301 77.41928 94.63559 94.14521 108.21680
[183] 110.49789 109.67254 105.60381 106.95624 110.80613 97.32974 88.18508
[190] 110.52869 91.78977 112.87419 112.87705 102.85055 95.81134 109.36201
[197] 89.40200 123.14738 94.17843 110.81533 91.25844 96.83675 101.09029
[204] 86.90267 93.90307 90.39016 103.04577 105.92881 128.32405 95.01098
[211] 105.11665 80.65952 118.82798 106.92976 95.40893 112.11762 97.79479
[218] 114.74322 106.28334 92.82216 94.85118 88.83782 93.81474 103.11445
[225] 86.52825 108.75256 99.29890 85.64333 84.83865 91.14759 102.39667
[232] 99.25598 98.19495 93.32646 94.16897 112.05157 113.51172 108.54176
[239] 95.23133 94.47241 102.95401 106.81048 93.92945 81.14063 96.14253
[246] 121.55399 110.15149 109.78002 105.64105 96.02966 85.71050 90.04850
[253] 78.12530 104.34482 111.60417 114.11153 117.26418 92.62201 90.39132
[260] 103.06384 112.11327 107.94047 103.64446 111.84622 112.98427 100.82523
[267] 117.62656 90.98605 79.04124 97.41522 102.07077 90.71477 92.13621
[274] 98.87897 99.65016 109.59185 107.33271 92.52878 92.16460 107.69659
[281] 89.24110 105.08129 104.62005 109.60052 91.56323 99.83815 102.08447
[288] 103.85700 104.77493 92.08833 106.21453 110.18223 94.86340 108.91722
[295] 100.47681 100.14829 92.74045 84.61304 99.92561 102.45499 137.25797
[302] 107.60573 96.29156 105.83121 108.17832 92.00549 92.03705 108.78235
[309] 108.61308 104.59820 103.70288 104.65309 100.57039 107.40031 107.70162
[316] 97.09102 109.57463 85.12557 94.89995 88.37225 89.07064 81.31756
[323] 93.73458 105.66952 101.02323 109.78476 114.44051 101.13716 95.13448
[330] 95.16788 99.43646 104.05770 95.44896 112.10446 83.94930 122.49236
[337] 105.58472 100.04005 108.66503 93.54979 100.25007 82.19105 105.11186
[344] 101.76163 101.63857 96.64801 110.31615 101.60927 104.66037 116.83887
[351] 96.29867 94.89404 105.24263 87.99067 93.85848 103.36469 84.92032
[358] 119.31956 93.96201 103.23201 113.73714 101.70027 105.78124 99.92631
[365] 112.90553 101.06080 137.19360 92.21088 92.68043 115.43491 82.99883
[372] 97.13534 113.52924 113.40227 99.76368 80.06674 102.84887 107.72594
[379] 100.02930 95.78348 87.40477 94.03557 110.42902 82.70701 105.99512
[386] 99.09986 118.57017 93.43018 109.34390 109.02814 103.24387 90.28058
[393] 116.43471 83.35560 95.06364 100.04441 80.75400 94.05444 91.46089
[400] 104.27206 121.34944 104.70443 96.43316 85.34049 114.42392 93.01497
[407] 118.38014 102.22190 99.28828 111.91916 95.71712 106.74945 89.49411
[414] 84.50669 117.54543 106.17270 87.39702 98.64223 106.06665 97.38697
[421] 121.81838 106.59487 113.45626 97.63409 80.65659 112.98802 89.87380
[428] 80.74433 87.60852 102.03582 92.41316 109.18889 99.96278 94.43757
[435] 134.03675 91.80511 99.79603 110.66308 88.23336 110.91542 120.45385
[442] 118.16726 101.62433 108.46234 105.39158 97.93395 96.76140 118.71999
[449] 120.23368 104.23889 87.60551 89.68734 112.89582 104.95674 108.05156
[456] 90.60724 89.52517 101.12124 91.42476 112.92504 120.19541 97.33248
[463] 94.72137 107.19632 97.04940 100.00250 94.81114 100.60510 96.54197
[470] 85.83778 98.67885 114.35875 112.66311 88.44573 97.47965 109.04604
[477] 118.69025 106.25715 117.88289 91.23839 108.83710 98.93418 116.12598
[484] 96.86692 93.71802 122.64067 99.34788 115.20328 109.08594 94.17994
[491] 98.23105 89.42967 97.08199 92.85867 104.81578 93.94003 123.83779
[498] 126.89104 102.76978 96.12886 99.80244 94.99107 97.55036 95.88480
[505] 99.43292 94.93598 95.31629 106.40226 100.50353 105.19985 110.20052
[512] 101.11299 105.59418 112.05971 123.73394 112.91866 99.04288 99.72916
[519] 117.14457 97.01840 100.48033 88.86176 92.09202 106.08606 115.81025
[526] 106.64105 101.16410 107.51822 94.79362 98.32962 90.57589 96.39784
[533] 82.92848 97.74468 92.34139 96.81011 101.50118 114.34035 116.53719
[540] 94.53007 95.67510 107.36809 121.52011 99.55574 96.44605 90.47399
[547] 94.76557 93.72093 95.15517 94.05411 109.44362 98.63317 117.06226
[554] 104.60070 118.48380 87.16796 110.13482 103.03713 111.62429 101.19578
[561] 117.02989 100.81086 104.07209 111.93839 97.79771 88.65330 103.56738
[568] 104.41994 90.84856 91.42457 120.84948 122.11488 100.08263 117.52393
[575] 98.38732 103.60296 96.57851 90.85636 102.44714 121.58228 96.23039
[582] 110.38266 110.39513 110.24718 101.04879 116.09212 85.55163 96.55266
[589] 90.94783 100.35979 90.27251 111.83004 98.31950 89.99298 120.32882
[596] 103.32483 110.13451 97.76785 81.56897 96.51640 96.68599 98.15158
[603] 103.83563 117.05222 117.12693 97.41968 89.47543 136.05396 117.19183
[610] 132.07142 107.23132 92.69649 95.48749 114.75176 95.62434 108.97206
[617] 120.44227 91.45709 96.62113 99.00077 105.65091 83.61770 103.56892
[624] 109.81358 105.24192 86.56731 99.98094 98.45889 105.59583 96.01785
[631] 113.37456 116.20898 86.96912 93.11707 91.40484 99.29545 98.22125
[638] 112.21482 114.68004 107.96591 95.70464 93.36423 101.86411 105.01970
[645] 88.66764 105.12951 103.23623 99.49102 93.09475 109.86247 87.68912
[652] 106.51840 121.29290 100.98449 108.50170 107.48181 90.29316 101.63971
[659] 95.96597 116.40162 122.56138 101.11510 94.09978 97.75781 106.15587
[666] 96.27297 103.08341 95.74053 99.62640 90.46981 116.95188 85.57749
[673] 110.95607 88.43405 108.49857 104.88952 97.71156 92.29373 91.22980
[680] 107.82187 104.17259 109.39900 113.13466 121.74686 89.63270 117.60464
[687] 90.18529 105.24415 92.95501 86.09884 91.12107 110.15722 94.22287
[694] 92.82279 109.60668 110.19166 85.04295 110.36042 92.90464 106.22928
[701] 103.60472 103.60827 97.13383 118.52336 102.50399 104.38374 85.59197
[708] 94.05650 117.92109 99.39448 122.98414 108.13865 133.40925 113.93369
[715] 103.99832 106.36135 139.10207 105.04300 129.56674 100.04264 86.09107
[722] 91.80589 106.54870 102.55073 105.72951 110.97406 114.76718 116.59509
[729] 85.50214 102.19057 98.80182 103.77573 105.85783 95.15508 83.07893
[736] 108.06844 79.01071 102.92038 109.75366 100.26090 100.68338 111.57299
[743] 89.12382 111.76453 110.17624 92.94673 112.40808 107.05589 92.27302
[750] 106.63569 95.03859 112.84985 102.90222 101.04917 96.99046 114.16780
[757] 91.84041 112.60026 99.78112 89.59339 92.68716 94.21860 110.73704
[764] 90.64558 100.61650 89.90529 101.99654 91.68875 100.07419 101.46769
[771] 110.37911 83.05889 106.28635 108.42610 98.90279 105.34521 103.78361
[778] 100.92399 93.60121 116.29992 108.84732 110.20856 90.71696 116.61756
[785] 87.83790 93.48062 102.80364 108.29093 105.92911 93.92640 88.56952
[792] 96.01986 111.87905 90.47704 123.79059 114.75026 93.38345 125.68650
[799] 103.93784 84.42627 103.64701 94.00492 101.85694 86.98660 94.23297
[806] 104.59473 99.57178 90.03339 97.37882 111.99368 100.83850 101.71924
[813] 106.28314 102.37120 92.32495 92.73648 97.02730 112.38336 105.79249
[820] 87.72074 97.88041 93.78163 103.04453 104.41241 87.60376 95.11243
[827] 95.57319 111.20529 108.51056 93.60725 113.69039 100.04550 98.61945
[834] 98.10486 89.20555 119.57637 96.86894 104.75681 94.40679 111.01220
[841] 111.60594 104.14981 110.98702 83.58835 105.04455 91.34093 108.00399
[848] 106.81550 93.08751 108.91285 108.09687 92.44400 97.61922 110.92830
[855] 127.97795 112.44483 111.04628 91.68152 117.21787 117.19227 117.63476
[862] 106.41017 105.50195 85.99034 88.38303 91.20853 93.22193 91.77973
[869] 113.96059 92.56221 103.68612 106.11484 98.92138 97.89789 107.80083
[876] 111.99013 97.50211 111.75597 86.27651 83.89680 127.70728 89.21431
[883] 99.62143 105.76464 97.26884 98.10190 102.24349 117.85888 92.07314
[890] 102.11112 93.09447 118.32692 116.76443 83.70362 103.78107 96.57012
[897] 101.55754 115.40916 103.24509 120.77064 92.20609 83.85702 92.55990
[904] 85.41772 91.38199 105.52908 105.44887 96.52099 93.60602 113.15356
[911] 94.50689 77.08359 110.39039 109.52434 101.78679 99.09107 114.72332
[918] 86.47023 98.70151 90.62124 97.66864 113.72985 99.93207 96.33066
[925] 97.58972 100.57708 110.82908 101.08275 99.80044 111.28004 93.38043
[932] 99.65346 92.90130 107.89799 96.05338 111.22297 107.85662 97.90396
[939] 108.50692 103.59279 121.97178 99.01498 117.08832 106.63149 89.01016
[946] 91.33937 86.04765 110.41996 107.74337 100.25337 90.31929 106.65145
[953] 103.13537 115.02426 103.01239 102.46767 99.99208 107.31570 113.55083
[960] 98.82513 118.44472 117.76183 99.05564 96.45525 84.86851 86.10732
[967] 81.45951 103.22805 88.69670 111.23848 104.15312 122.18429 97.70687
[974] 98.79247 105.25165 95.90391 107.65551 92.44114 86.70509 115.95656
[981] 73.62441 97.38967 99.91711 95.60901 84.87258 92.99965 89.64119
[988] 95.57516 93.89060 111.95860 99.70531 88.74327 90.98605 105.86925
[995] 104.09516 100.92647 93.18647 101.48259 96.87037 124.21486
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