tensortrade.stochastic.processes.brownian_motion module¶

tensortrade.stochastic.processes.brownian_motion.brownian_motion_levels(params: tensortrade.stochastic.utils.parameters.ModelParameters) → numpy.array[source]¶

Constructs a price sequence whose returns evolve according to brownian motion.

Parameters:	params (ModelParameters) – The parameters for the stochastic model.
Returns:	np.array – A price sequence which follows brownian motion.

tensortrade.stochastic.processes.brownian_motion.brownian_motion_log_returns(params: tensortrade.stochastic.utils.parameters.ModelParameters) → numpy.array[source]¶

Constructs a Wiener process (Brownian Motion).

Parameters:	params (ModelParameters) – The parameters for the stochastic model.
Returns:	np.array – Brownian motion log returns.

References

[1] http://en.wikipedia.org/wiki/Wiener_process