Flipping Trade Signals

Simulation to explore changing all long trade signals to short on a geometric brownian motion path.

Generates GBM curve with specified drift and volatility parameters.

Trade entries are modeled through a zero-intelligence model assuming a Poisson arrival process for trades conditioned on a set number of trades on the GBM curve.

All credit for the GBM curve generator goes to http://www-math.bgsu.edu/~zirbel/sde/

This code is uploaded for this blog post:
http://hanwangquant.blogspot.com/2011/06/flipping-trade-signals.html