Brownian Motion Simulation In Excel

By Kardi Teknomo, PhD.

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Simulation of Brownian motion in Excel

Brownian motion can be simulated in a spreadsheet using inverse cumulative distribution of standard normal distribution.

1.Start with W₀=0. This is by definition of Brownian motion.

2.Then, compute W₁=W₀ + NORM.S.INV(RAND()). See the picture below for the actual implementation in spreadsheet.

3.Copy the formula until certain time, say t=250

4.Plot the path of Brownian motion

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Preferable reference for this tutorial is

Teknomo, Kardi. (2017) Stochastic Process Tutorial .
http://people.revoledu.com/kardi/tutorial/StochasticProcess/