Thayer Watkins
Silicon Valley
& Tornado Alley

Time Path of Prices
with Random Proportional Changes

Below are given two illustrations of the time paths of prices which have random rates of change. The first is based upon rates of change that are proportional to a random variable uniformly distributed between -0.5 and +0.5. The second has rates of changes of prices that are from a normal distribution. Each time the screen is refreshed a new set of random rates of change is determined. When the screen is scrolled the display is garbled and has to be refreshed to get a clear image. The appearance of the time path depends upon the mean and spread of the distribution used to generate the random rates of change of the price.

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