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- Topic: andom walk with drift
| Author | Topic: andom walk with drift |
|---|---|
| GustavoV @2020-03-26 18:57:57 |
In quants, we speak about random walk with drift and that if we have a drift, b0 is different than 0, but what exactly is the drift supposed to mean? |
| psmaniyar @2020-03-31 01:40:40 |
It means that b0 <> 0. Literally, that's the definition of drift. Tomorrow's value is expected to be larger than today's. Or, tomorrow's value is expected to be smaller than today's. |
