Stock Price Simulation (SPS-GBM)

A tool for simulating future stock prices using Geometric Brownian Motion (GBM) in Rust.

Overview

This tool simulates potential future stock prices based on historical data using the Geometric Brownian Motion model, a standard approach in financial modeling.

Features

• Fetch historical stock data from Alpha Vantage API
• Calculate drift and volatility parameters from historical data
• Run multiple simulations in parallel using Rayon
• Visualize results with price paths and distribution histograms
• Cached API responses to reduce network calls
• Command-line interface with customizable parameters

Installation

git clone https://github.com/excoffierleonard/sps-gbm.git
cd sps-gbm
cargo build --release

You'll need to create a .env file with your Alpha Vantage API key:

ALPHAVANTAGE_API_KEY=your_api_key_here

Usage

# Run with default parameters (AAPL stock)
cargo run --release

# Run with a specific ticker
cargo run --release -- -t AAPL

# Run with custom parameters
cargo run --release -- -t MSFT -f 2023-01-01 -u 2023-12-31 -s 200 -n 500

Command Line Options

• -t, --ticker: Stock ticker symbol (default: AAPL)
• -f, --start-date: Start date for historical data (default: 2023-01-01)
• -u, --end-date: End date for historical data (default: 2024-12-31)
• -s, --steps: Number of simulation steps (default: 100)
• -n, --paths: Number of simulation paths (default: 100)

Example Output

Simulation Results:
Ticker: AAPL
Mean Price: 233.61
Median Price: 232.33
Standard Deviation: 23.35
Confidence Interval (95%): [233.15, 234.07]
Percentiles 10th: 204.17, 25th: 217.19, 75th: 248.73, 90th: 264.01
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License

MIT License - See LICENSE file for details.