mle_gbm: MLE for geometric Brownian motion model of stock prices
In shill1729/pside: Model estimation for P side
Description
Usage
Arguments
Details
Value
Description
Computes the MLE estimates for parameters defining a GBM model.
Usage
1
mle_gbm(prices, time_step = 1/252)
Arguments
prices
the time-series of prices
time_step
the time step, defaults to 1/252 for live data.
Details
The GBM supposes a log-normal distribution for prices. The MLE parameters have well known estimates.
Value
data.frame
shill1729/pside documentation built on June 11, 2020, 12:18 a.m.
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Description Usage Arguments Details Value
Description
Computes the MLE estimates for parameters defining a GBM model.
Usage
1 | mle_gbm(prices, time_step = 1/252)
|
Arguments
prices |
the time-series of prices |
time_step |
the time step, defaults to 1/252 for live data. |
Details
The GBM supposes a log-normal distribution for prices. The MLE parameters have well known estimates.
Value
data.frame
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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