Simulated Market Crash
Download 150 years of simulated daily prices for one single stock. Each subset of 1,000 consecutive prices can be used to model three years of stock market activity. The price starts at about $1 per share, then increases to $3,800 after several decades, and eventually settles, after a few extra decades, below $500 per share. At some point, the time series shows a chaotic behaviour similar to the great collapse of the Nasdaq.
It illustrates Wald's identity, stating that under stationarity conditions, the buy and hold strategy may never pay off.
You can view three snapshots at different periods of time. Each "snapshot" covers a period of two years:
Snapshot 1 ||
Snapshot 2 ||
Snapshot 3
To receive the market crash dataset (in text format, 274 Kbytes compressed) and obtain the next issue of our
monthly newsletter, fill out the form below:
Click here to download the source code.
|
){kind=link}
){kind=link}
){kind=link}