Excel Formula for Brownian Motion

[J. Ryans]

What's the excel formula to model a Brownian Motion?

Thanks,

Jim

 

[JE McGimpsey]

Not certain, but I'd guess it would involve the RAND() function.

 

[J. Ryans]

You're right. It does involve RAND(), lol.

Thanks for the further assurance in that regard.

Jim

 

[J. Ryans]

I created an Excel worksheet which sort of looks like a Brownian
Motion. If anyone is interested, send me an email.

Is anyone familiar with creating a Fractional Brownian Motion? The
major difference is that the "rand()" data set equals a desired r^2
(RSQ in Excel) value. For example, I would like to create a random
data set that equals a r^2 value of 0.5.

Thanks,


Jim

 

[tyrian]

What's the excel formula to model a Brownian Motion?

Thanks,

Jim

Examine the spreadsheet at http://investexcel.net/670/geometric-brownian-motion-excel/ for an Excel implementation

Tyrian