[R-SIG-Finance] Artificial price series

[stefano iacus]

"shamelessly" speaking, you can also have a look at the Yuima package (on R-forge). It can help you with the simulation of jump and/or fractional processes as well... and it is "book"-free :-) (compared with sde)

stefano




On 12 Apr 2011, at 22:02, Jeffrey Ryan wrote:

> Dirk forgot to add in his shameless plug:
> 
> 
> 
> You can even talk *in person* with Stefano, David, Dirk, myself, Josh,
> Mark Leeds, and many, many others about this topic and more at the
> upcoming R/Finance 2011 held in Chicago on April 29 and 30th!
> 
> It is an awesome opportunity to meet, network, and discuss the state
> of R in finance.  If you haven't been, you're are missing out on some
> great "off-list" discussions.
> 
> http://www.RinFinance.com
> http://www.RinFinance.com/agenda
> http://www.RinFinance.com/register
> 
> </end of Dirk's plug>
> 
> ;-)
> 
> Jeff
> 
> 
> 
> On Tue, Apr 12, 2011 at 2:48 PM, Dirk Eddelbuettel <edd at debian.org> wrote:
>> 
>> On 12 April 2011 at 19:28, Mark Breman wrote:
>> | That's what i like so much about following this list: you regularly read
>> | about things you never knew existed!
>> 
>> <shameless "ad" for a free product or two>
>> 
>>  In fact, that's why I wrote CRANberries (which has been at your service
>>  at http://dirk.eddelbuettel.com/cranberries/ for both html or, preferably,
>>  rss aggregation) and why I extended it to tweet via the @CRANberriesFeed
>>  handle.
>> 
>>  There is so much good change in the R world that you need the help of a
>>  diligent bot to keep up.
>> 
>> </shameless "ad" for a free product or two>
>> 
>> That said, the list is still very good :)
>> 
>> Hope this helps, Dirk
>> 
>> --
>> Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com
>> 
>> _______________________________________________
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>> -- Also note that this is not the r-help list where general R questions should go.
>> 
> 
> 
> 
> -- 
> Jeffrey Ryan
> jeffrey.ryan at lemnica.com
> 
> www.lemnica.com
> 
> R/Finance 2011 April 29th and 30th in Chicago | www.RinFinance.com
> 
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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-----------------------------------
Stefano M. Iacus
Department of Economics,
Business and Statistics
University of Milan
Via Conservatorio, 7
I-20123 Milan - Italy
Ph.: +39 02 50321 461
Fax: +39 02 50321 505
http://www.economia.unimi.it/iacus
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