This is a summary of links featured on Quantocracy on Sunday, 04/26/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Efficiently Simulating Geometric Brownian Motion in R [Robot Wealth]For simulating stock prices, Geometric Brownian Motion (GBM) is the de-facto go-to model. It has some nice properties which are generally consistent with stock prices, such as being log-normally distributed (and hence bounded to the downside by zero), and that expected returns dont depend on the magnitude of price. Of course, GBM is just a model and no model is a perfect representation of