applet-magic.com Thayer Watkins Silicon Valley & Tornado Alley USA |
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with Random Proportional Changes |
Below are given two illustrations of the time paths of prices which have random rates of change. The first is based upon rates of change that are proportional to a random variable uniformly distributed between -0.5 and +0.5. The second has rates of changes of prices that are from a normal distribution. Each time the screen is refreshed a new set of random rates of change is determined. When the screen is scrolled the display is garbled and has to be refreshed to get a clear image. The appearance of the time path depends upon the mean and spread of the distribution used to generate the random rates of change of the price.
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