BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

176 ACTA WASAENSIA275276 figure;277 subplot(2,1,1), plot(-(hchist+hfhist)), title(’Market maker holdings’);278 subplot(2,1,2), plot(-(cwealth+fwealth)), title(’Market maker wealth’);279280281 % Produce function output282283 returns = rhist; %(T*1) simulated logreturns284285 toc %end clock286287288 function k = fastbin(n,p)289 %FASTBIN generates binomial random variates optimized for speed290 %K = FASTBIN(N,P) generates a random number from the291 %binomial distribution with sample size N and probability P.292 %Uses the BINV algorithm described in:293 %Voratas Kachitvichyanukul and Bruce W. Schmeiser (1988):294 %Binomial Random Variate Generation295 %Communications of the ACM 31, 216-222296 %297 % written by Bernd Pape298299 %BINV algorithm starts here300 %Step 1301 q = 1-p; s = p/q; a = (n+1)*s; r = q^n;302303 %Step 2304 u = rand; k = 0;305306 %Step 3 + 4307 while u > r308 u = u - r;309 k = k + 1;310 r = ((a/k)-s)*r;311 end312 %end of BINV algorithm