Flipping Trade Signals 1.0

Date Added: April 09, 2013 | Visits: 254

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Generates GBM curve with specified drift and volatility parameters.Trade entries are modeled through a zero-intelligence model assuming a Poisson arrival process for trades conditioned on a set number of trades on the GBM curve.All credit for the GBM curve generator goes to http://www-math.bgsu.edu/~zirbel/sde/This code is uploaded for this blog post:http://hanwangquant.blogspot.com/2011/06/f...de-signals.html

Requirements: No special requirements

Platforms: Matlab

Keyword: Arrival, Assuming, Conditioned, Credit, Generator, Number, Poisson, Process, Trades, Uploaded

Users rating: 0/10

License: Shareware

Size: 10 KB

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