Effect of Volatility and Drift on Random Walks

Requires a Wolfram Notebook System
Interact on desktop, mobile and cloud with the free Wolfram Player or other Wolfram Language products.
This Demonstration generates 10 sample paths of Brownian motion with values of drift governed by a user-defined maximum absolute value. The user can vary the number of steps and volatility of the random walk. A random walk is a mathematical model for the motion of particles in suspension in a fluid. The volatility represents the temperature of the fluid and drift represents an external force applied to the particles, such as an electric field. Drift values are the same for the and
axes, resulting in drifting directions {1,1} and {-1,1}.
Contributed by: Felipe Dimer de Oliveira (August 2013)
Open content licensed under CC BY-NC-SA
Snapshots
Details
detailSectionParagraphPermanent Citation
"Effect of Volatility and Drift on Random Walks"
http://demonstrations.wolfram.com/EffectOfVolatilityAndDriftOnRandomWalks/
Wolfram Demonstrations Project
Published: August 21 2013