Hi Monks,

I am looking for some advice on how to generate a realistic stock price series. I have hacked together the following but it relies on hardcoded ceiling values for daily changes and price ranges. Obviously I will need some kind of controls to limit the movement of prices but I would also like my market simulation to have the potential to 'crash'.

Currently my price series looks too random when plotted, I need to inject a little bit of human irrationality into the series.

Any pointers on how this may be done would be gratefully received. 

use strict;
use warnings;

my $start     = sprintf("%.2f",(1 + rand(100)));
my $direction = sub { return rand(1) > 0.5 ? 1 : -1; };
my $varience  = sub { return rand(0.05); };
my $range     = sub { return rand(0.08); };
my $high;
my $low;
my $close;
my @prices;

for(1..1012){
    
    if(!defined $high){
        $high = sprintf("%.2f",( $direction->() * $varience->() * $sta
+rt ) + $start);
        $low   = sprintf("%.2f",( $high - ($high * $range->())));
        $close = sprintf("%.2f",(rand($high - $low) + $low));
    }
    else {
        $high = sprintf("%.2f",( $direction->() * $varience->() * $hig
+h ) + $high);
        $low   = sprintf("%.2f",( $high - ($high * $range->())));
        $close = sprintf("%.2f",(rand($high - $low) + $low));
    }
    
    print "$high,$low,$close\n";
    
}

exit;

[download]

Many Thanks, TeraMarv

In reply to Generating Stock Price Data by TeraMarv

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