tensortrade.stochastic.processes.gbm module

tensortrade.stochastic.processes.gbm.gbm(base_price=1, base_volume=1, start_date='2010-01-01', start_date_format='%Y-%m-%d', times_to_generate=1000, time_frame='1h', model_params=None)

tensortrade.stochastic.processes.gbm.geometric_brownian_motion_levels(params)

Constructs a sequence of price levels for an asset which evolves according to a geometric brownian motion.

Parameters:params (ModelParameters) – ModelParameters The parameters for the stochastic model. Returns:The price levels for the asset

tensortrade.stochastic.processes.gbm.geometric_brownian_motion_log_returns(params)

Constructs a sequence of log returns which, when exponentiated, produces a random Geometric Brownian Motion (GBM). The GBM is the stochastic process underlying the Black-Scholes options pricing formula.

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