A model to simulate the behaviour of equity marketsmodelling
This model will generate reasonable prices for the market and will use the latest real-time price as the starting point.
Price updated as of:
The Toronto Stock Exchange (TSX) historical and simulated values are modelled below:
The Standard & Poor’s 500 (S&P 500) index historical and simulated values are modelled below:
How it works
The model builds the simulation based on historical logarithmic returns of each market. It utilizes the generalized lambda probability density function as the underlying model to draw returns from. A more detailed explanation can be found in Posts.