This is the code for my second year project where I simulated the stock market using geometric brownian motiom which a subset of the Black Scholes Model.
This project included modelling:
- Stochastic process / random walk of the stock price and initial capital investment
- Simulating the effects of different stock volatility and drift values
- Implementing Kelly's Criterion to maximise captial gains
- Comparing the model with the share price movement of Tesla, Apple and Microsoft
- Calculating the optimal investment strategy using the geometric mean