2e:null 2f:["$","title",null,{"children":"Stock Investment in a Greenhouse Part2 | Humble Data Miner | Observable"}] 34:Te2a,function draw_gbm_chart(dt, years, items, yscale, margin, w, h, stroke_opacity=1.0) { const n = years*dt; // ~5 years (240 days per year) let series = []; for (let i = 0; i < items.length; i++) { const item = items[i]; const xn = Float64Array.from({length: n}, d3.randomNormal(item.mu, item.sigma)); const x = xn.map(x => Math.exp(x - item.sigma**2/2)) let productSum = 1.0; let y = [productSum]; for (let j = 0; j < x.length ; ++j) y.push(productSum *= x[j]); series.push(y); } let mean = []; for (let i = 0; i <= n; i++) { let values = []; for (let j = 0; j < series.length; j++) values.push(series[j][i]); mean.push(d3.mean(values)); } let t = []; for (let i = 0; i <= n; i++) t.push(i/dt); const x = d3.scaleLinear() .domain(d3.extent(t)) .range([margin.left, w - margin.right]); const y = (yscale == "log" ? d3.scaleLog() : d3.scaleLinear()) .domain([d3.min(series, d => d3.min(d)), d3.max(series, d => d3.max(d))]) .range([h - margin.bottom, margin.top]); const line = d3.line() .defined(d => !isNaN(d)) .x((d, i) => x(t[i])) .y(d => y(d)); const svg = d3.create("svg") .attr("viewBox", [0, 0, width, h]) .style("overflow", "visible"); svg.append("g") .attr("transform", `translate(0,${h - margin.bottom})`) .call(d3.axisBottom(x).ticks(years).tickFormat(x => `${x}Y`)); svg.append("g") .attr("transform", `translate(${margin.left},0)`) .call(d3.axisLeft(y).tickFormat(x => `x${yscale == "log" ? logratio_formatter(x) : linearscale_formatter(x)}`)) svg.append("g") .attr("transform", `translate(${w - margin.right},0)`) .call(d3.axisRight(y).tickFormat(x => `x${yscale == "log" ? logratio_formatter(x) : linearscale_formatter(x)}`)) svg.append("g") .attr("fill", "none") .attr("stroke-opacity", stroke_opacity) .attr("stroke-width", 1) .selectAll("path") .data(series) .join("path") .style("mix-blend-mode", "multiply") .attr("stroke", (d,i) => items[i].color) .attr("d", d => line(d)); const g = svg.append("g") .attr("transform", `translate(${x(t[t.length-1])}, ${y(mean[mean.length-1])})`); g.append("line") .attr("x1", 0) .attr("y1", 0) .attr("x2", margin.right) .attr("y2", 0) .attr("stroke", "black") .attr("stroke-width", 1) .attr("stroke-dasharray", "2,2"); g.append("rect") .attr("x", margin.right) .attr("y", -20/2) .attr("width", 60) .attr("height", 20) .attr("fill", "yellow") .attr("stroke", "black") .attr("stroke-width", 1); g.append('text') .attr('x', margin.right + 60/2) .attr('y', 0) .attr('font-size', 12) .attr('alignment-baseline', 'central') .attr('text-anchor', 'middle') .text("Mean x"+d3.format(".2f")(mean[mean.length-1])); svg.append("path") .datum(mean) .attr("fill", "none") .attr("stroke", "black") .attr("stroke-width", 4) .attr("d", d => line(mean)); svg.append("path") .datum(mean) .attr("fill", "none") .attr("stroke", "yellow") .attr("stroke-width", 2) .attr("d", d => line(mean)); svg.append("line") .attr("x1", x(t[0])) .attr("x2", x(t[t.length-1])) .attr("y1", y(1)) .attr("y2", y(1)) .attr("stroke", "white") .attr("stroke-width", 1); svg.append("line") .attr("x1", x(t[0])) .attr("x2", x(t[t.length-1])) .attr("y1", y(1)) .attr("y2", y(1)) .attr("stroke", "black") .attr("stroke-width", 1) .attr("stroke-dasharray", "2,2"); return svg.node(); }35:[] 32:{"id":"4d187a476f791c02","slug":"stock-investment-in-a-greenhouse-part2","title":"Stock Investment in a Greenhouse Part2","thumbnail":"de78a38b200d22c3ca58e0d1900802e64f20d57c7e374563a984deec5ed4dbf1","access_level":"public","create_time":"$D2021-07-05T19:05:48.870Z","update_time":"$D2021-07-05T19:56:39.368Z","view_time":null,"first_public_time":"$D2021-07-05T19:45:15.553Z","has_unpublished_edits":null,"fork":{"id":"2dbde52741ded4ee","slug":"stock-investment-in-a-greenhouse-part2-korean","title":"Stock Investment in a Greenhouse Part2 (Korean)","owner":{"id":"50faa4da52a9ff9b","login":"humble-data-miner","name":"Humble Data Miner"}},"stars":0,"starred":false,"owner":{"type":"team","id":"50faa4da52a9ff9b","login":"humble-data-miner","name":"Humble Data Miner","avatar_url":"https://avatars-next.observableusercontent.com/3046b1bea86c5e825baea7c0c403d90ad9690b5396b11b5d02b3a0839fbcb946","tier":"starter_2024"},"version":568,"publish_version":568,"role":null,"authored":false,"authors":[{"type":"individual","id":"4e2fc41e06361cc3","login":"humble-data-miner","name":"Humble Data Miner","avatar_url":"https://avatars-next.observableusercontent.com/3046b1bea86c5e825baea7c0c403d90ad9690b5396b11b5d02b3a0839fbcb946","tier":null}],"members":[{"type":"individual","id":"4e2fc41e06361cc3","login":"humble-data-miner","name":"Humble Data Miner","avatar_url":"https://avatars-next.observableusercontent.com/3046b1bea86c5e825baea7c0c403d90ad9690b5396b11b5d02b3a0839fbcb946","tier":null,"role":"editor"}],"comments":[],"custom_thumbnail":true,"trashed":false,"lapsed":null,"subscribed":null,"forks":0,"collection":{"id":"693a1556761fc3fc","slug":"stock-investment-in-a-greenhouse","title":"Stock Investment in a Greenhouse","owner":{"id":"50faa4da52a9ff9b","login":"humble-data-miner","name":"Humble Data Miner"}},"type":"notebook","body":{"title":"Stock Investment in a Greenhouse Part2","cells":[{"id":0,"value":"md`# Stock Investment in a Greenhouse Part2`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":8,"value":"md`---\n## Part2: (Multi|Uni)verse Simulation`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":10,"value":"md`\n
\n### Only ${data.length} stocks left in the world\n
\nThe volatility characteristics of those stocks is represented as 1-year probability distriution of gross return. Refer to the Part1 if you want to remind what this is\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":21,"value":"draw_lognormal_pdf(data, 100, 240, margin, width*2/3, 250)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":44,"value":"md`\n
\n### Multiverse single asset simulation\n\n* \\\\# of universes : ${universecount} (another me in another universe)\n* \\\\# of stocks in portfolio : 1\n* simulation duration : 5 years\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":154,"value":"viewof assetindex = Inputs.select([...Array(data.length).keys()], {label: \"stock to simulate?\", format: i => data[i].name});","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":455,"value":"viewof yscale_multiverse = Inputs.radio(scales, {label: \"y-axis scale\", value: scales[0], format: x => x.name}) ","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":442,"value":"viewof replay_multiverse = button({value: \"replay single asset investment in multiverse\"})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":435,"value":"{\n replay_multiverse\n let asset = data[assetindex];\n let items = Array.from({length: universecount}, () => ({mu: asset.mu, sigma: asset.sigma, color: d3.schemeCategory10[assetindex]}));\n return draw_gbm_chart(240, 5, items, yscale_multiverse.value, margin, width*2/3, height, 0.1);\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":475,"value":"md`\n
\n#### As a result of the single asset investment in multiverse\n\n* Upward inclination doesn't guarantee gain all the time\n* Downward inclination doesn't guarantee loss all the time\n* More variance in stock, more variance in return\n* As time goes, variance of return becomes larger without exception\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":207,"value":"md`\n
\n### Diversified investment in the present\n\n* \\\\# of universe : 1\n* \\\\# of stocks diversified : ${data.length}\n* simulation duration : 5 years\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":459,"value":"viewof yscale_present = Inputs.radio(scales, {label: \"y-axis scale\", value: scales[0], format: x => x.name}) ","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":225,"value":"viewof replay_present = button({value: \"replay diversified inverstment in the present\"})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":426,"value":"{\n replay_present;\n let items = data.map( (d,i) => ({mu: d.mu, sigma: d.sigma, color: d3.schemeCategory10[i]}) );\n return draw_gbm_chart(240, 5, items, yscale_present.value, margin, width*2/3, height);\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":241,"value":"md`\n
\n#### As a result of the diversified investment in the present\n\n* The rank of stock returns change every trial (individual return is unpredictable)\n* Diversified investment shows less variance in mean return (Like mean return in the multiverse simulation)\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":486,"value":"md`\n
\n### Closing Part2\n\n* Getting all in one stock could make you either rich in the 1st universe or poor in the 99th universe\n* I strongly recommend you trying diversified investment on your own\n* The experiment here has one big assumption that can change result much. Let's see that in Part3\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":6,"value":"md`---\n\n## Appendix`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":4,"value":"html``","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":12,"value":"data = {\n var d = stocks10;\n for (let i = 0; i < d.length; i++)\n d[i]['name'] = \"stock #\" + (i+1) + \" \" + label_mu_sigma(d[i].mu*dt, d[i].sigma*Math.sqrt(dt));\n return d;\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":338,"value":"dt = 240","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":160,"value":"universecount = 1000;","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":446,"value":"scales = [ {name:\"linear\", value: \"linear\"}, {name:\"log\", value:\"log\"}];","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":23,"value":"margin = ({top: 10, right: 25, bottom: 10, left: 25})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":25,"value":"height = 400","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":508,"value":"$34","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":15,"value":"import {stocks10, draw_lognormal_pdf, logratio_formatter, linearscale_formatter, label_mu_sigma} from \"@humble-data-miner/finance-library\"","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"},{"id":221,"value":"import {button} from \"@jashkenas/inputs\"","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","output":"$undefined","database":"$undefined"}],"files":"$W35","stdlib":"1","titling":"auto"}} 33:"$32:body"