[R-SIG-Finance] Artificial price series

Worik worik.stanton at gmail.com
Mon Apr 11 23:53:34 CEST 2011


Is there some where a straight forward method for generating an 
artificial price or return series?

I have been playing around with simple random walks but they are not 
very satisfactory.  Very monotonic when compared to actual time series.  
I guess because of the constant return.

I am assuming that this is a common need but my last hour of Googling 
has gotten me nowhere


If we amplify everything, we hear nothing.

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