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Simulating the stock market using Geometric Brownian Motion.

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Geometric Brownian Motion for the Stock Market

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

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Simulating the stock market using Geometric Brownian Motion.

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