[R-SIG-Finance] Artificial price series

Joshua Ulrich josh.m.ulrich at gmail.com
Tue Apr 12 20:06:17 CEST 2011

Hi David,

On Tue, Apr 12, 2011 at 11:38 AM, David St John <dstjohn at math.uic.edu> wrote:
> Worik,
> See bootstrap() and generateSample() in the ttrTests package.  If you have a
> real price series these functions create a randomly resampled series.
> Bootstrapping using the 'block' method has many desirable statistical
> properties, given minimal assumptions on the underlying process that
> generated the original price data.
What's the benefit of using ttrTests::bootstrap versus boot::tsboot
and tseries::tsbootstrap that come with R?

> If you don't have a real price series you're trying to mimic, then you're on
> your own picking a distribution and hoping that a sample from that
> distribution resembles a stock price series!
> Best,
> -David

Joshua Ulrich  |  FOSS Trading: www.fosstrading.com

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