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March 12th, 2007, 04:04 PM  #1 
Newbie Joined: Mar 2007 Posts: 2 Thanks: 0  Random Walks  Matlab
Hi! (Not sure if this is the right forum but...) I need to create a program in Matlab that produces a random walk. Basically I'm investigating whether random walks can be used to model share prices; in my research I've found that there are two arguments for which distributions share prices follow (although I guess these may not always be true in practice). The possibilites are either a normal distribution or a tdistribution. So I need to produce 2 walks and in each I want the changes in the random walk (share price) to reflect the distribution of choice. Is this possible? I would be greatful for any help. Prior to this I've been using the following program to produce a random walk not based on these distributions; but I'm not sure how to move on... function y = randomwalk(x0,p,nsteps) y(1:nsteps) = 0; y(1) = x0; for istep = 2:nsteps y(istep) = y(istep1) + step(p); end function y = step(p) y = 1; if ( rand() < 1p ) y = 1; end %% Generate and plot a random walk x = randomwalk(0,0.5,10000); plot(x) Thanks!! 

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