tensortrade.stochastic.processes.brownian_motion module

tensortrade.stochastic.processes.brownian_motion.brownian_motion_levels(params)

Constructs a price sequence whose returns evolve according to brownian motion.

Parameters:params (ModelParameters) – ModelParameters The parameters for the stochastic model. Returns:A price sequence which follows brownian motion

tensortrade.stochastic.processes.brownian_motion.brownian_motion_log_returns(params)

Constructs a Wiener process (Brownian Motion).

References

• http://en.wikipedia.org/wiki/Wiener_process

Parameters:params (ModelParameters) – ModelParameters The parameters for the stochastic model. Returns:brownian motion log returns