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@googlemail.com>wrote:

> Hi,
>
> 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?
>
>
> Thanks
>
> --a
>
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