[R-SIG-Finance] statistical features of equity time series
jeff.a.ryan at gmail.com
Sun Oct 28 17:42:00 CET 2012
And in the spirit of OSS, share your code (if you get that far) with the list!
On Sun, Oct 28, 2012 at 11:23 AM, Mark Leeds <markleeds2 at gmail.com> wrote:
> Hi Alex: The paper below explains how Mandelbrot did what you're
> describing. There's no pseudo-code so programming what he describes could
> be an interesting challenge. If you use it and get anywhere with it, let
> me know. Good luck.
> jamesgoulding.com/Research_II/Mandelbrot/Mandelbrot (MMAR, Multifractal
> Model of Asset Returns).pdf
> On Sun, Oct 28, 2012 at 8:21 AM, Alex Grund <st.helldiver at googlemail.com>wrote:
>> 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
>> 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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jeffrey.ryan at lemnica.com
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