Quant model demos
These eight models run in seu browser. dados é randomly generated e does não mostrar any estratégia’s past ou futuro results.
01 / 08 · How prices move
Geometric Brownian motionGBM
Where could preço go?
It treats log preço changes as a random walk com drift. higher volatilidade, wider futuro paths fan out.
exemplo dados · randomly generated · Log scale
- exemplo paths
- 90% intervalo
- Median
- Expected valor
Parameters
Results
- One-year retorno, median path
- -7,7%
- Expected one-year retorno
- +10,5%
- Chance of a perda after a year
- 55%
In trading
baseline para option pricing, risco budgets, e scenario generation. chart shows volatilidade drag: even com a positive expected retorno, median path pode fall, because median grows at μ − σ²/2.
Limits
It assumes constant volatilidade e normally distributed returns. Real cripto mercados have gaps, fat tails, e volatilidade clustering.