"Create random stock prices, and some stats on those prices"
from numpy import asarray, cumprod, convolve, exp, ones
from numpy.random import lognormal, gamma, uniform
last_average = 100
mean = 0
stddev = 0.04
def _create_prices(t):
global last_average
returns = asarray(lognormal(mean, stddev, 1))
average = last_average * cumprod(returns)
last_average = average
high = average * exp(abs(gamma(1, 0.03, size=1)))
low = average / exp(abs(gamma(1, 0.03, size=1)))
delta = high - low
open = low + delta * uniform(0.05, 0.95, size=1)
close = low + delta * uniform(0.05, 0.95, size=1)
return open[0], high[0], low[0], close[0], average[0]
if __name__ == "__main__":
for i in range(10):
print _create_prices(i)
