clear all
V=1;
N=100;

while V<10000
   
T=390;   % Number of time intervals (390 is the number of minutes in a trading day)
   
Delta=round(rand(1,T));   % Random price change vector
   
Sign=round(rand(1,T));   % Vector that determines the direction of price change

j=1;
while j<T
   if Sign(j)<1
      Sign(j)=-1;
   end
   j=j+1;
end

k=1;
while k<T
Delta(k)=Delta(k)*Sign(k);
k=k+1;
end

m=1;
P(1)=40;
P(T)=40;
t(1)=1;
PriceChange(1)=0;
VolatilityFunction(1)=20;
PriceChangeIncrement=0.01;   % When the price changes it will change by this amount

while m<T
   m=m+1;
   VF=VolatilityFunction(1)+VolatilityFunction(1)*(P(T)/P(1))*exp(-PriceChangeIncrement*m)*sin(0.07*m);
   VolatilityFunction(m)= max(VF,-VF);
   P(m)=P(m-1)+PriceChangeIncrement*Delta(m)*VolatilityFunction(m)+(P(T)-P(1))/T;
   PriceChange(m)=(P(m)-P(m-1))/P(m-1);
   t(m)=m;
end

ClosePrice(V)=P(T-1);

V=V+1;
end
MN=mean(ClosePrice)
MD=median(ClosePrice)
SD=std(ClosePrice)
subplot(4,1,1), hist(ClosePrice,50)
subplot(4,1,2), plot(t,P,'k'), AXIS([0 T (P(1)-5) (P(T)+5)]), title('Random Process')
subplot(4,1,3), plot(t,PriceChange,'g'), AXIS([0 T -.015 .015]), title('Percentage Change in Price')
subplot(4,1,4), plot(t,VolatilityFunction,'r'), , AXIS([0 T 0 50]), title('Volatility')
%figure
%plot(t,VolatilityFunction*10,'r--')
%grid on