getGBM: Estimate parameters of a GBM from historical stock prices

In shill1729/trader: Mathematical finance analysis package

Estimate parameters of a GBM from historical stock prices

Description

Pass either the stock ticker symbol or the time-series data itself to fit a Geometric Brownian motion to the data via the basic MLE routine. Returns a vector containing the mean drift and the volatility; for daily price-series these are annualized, all other periods are not.

Usage

getGBM(symbol = NULL, prices = NULL, period = "daily", key = "premium")

Arguments

symbol	the stock ticker to look up
prices	optinally pass the time-series of prices
period	for looking up by symbol, the period between prices (daily, intraday, weekly, monthly)
key	premium or free API key for Alpha-Vantage

Value

vector

shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.