[R-SIG-Finance] statistical features of equity time series
st.helldiver at googlemail.com
Sun Oct 28 13:21:12 CET 2012
I would like to explore some basic investment "behaviors" (not real
quant "strategies"), such like the cost average effect.
Therefore, I would like to create artificial time series with similar
statistical features as real stock price time series.
1) How could I create them? What is a common distribution function to
get returns from? (Without having reference data)
2) How can I create a time series with similar features as a given time series?
3) How can I create a time series with statistical features that are
similar to most of the data from a set of given time series?
4) Is there anything valuable which could make given data more
exhaustible? Something like bootstrapping?
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