Re: [R-SIG-Finance] adjustOHLC discrepancy

2012-10-28 Thread Henry Bee
Hi Josh, I've fixed it. Please see file attached. adjustOHLC.R http://r.789695.n4.nabble.com/file/n4647683/adjustOHLC.R -- View this message in context: http://r.789695.n4.nabble.com/adjustOHLC-discrepancy-tp4643567p4647683.html Sent from the Rmetrics mailing list archive at Nabble.com.

Re: [R-SIG-Finance] adjustOHLC discrepancy

2012-10-28 Thread Henry Bee
Fixed another problem. There must be also be a dividend to unadjust. Updated file attached. adjustOHLC.R http://r.789695.n4.nabble.com/file/n4647688/adjustOHLC.R -- View this message in context: http://r.789695.n4.nabble.com/adjustOHLC-discrepancy-tp4643567p4647688.html Sent from the

[R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread Alex Grund
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

Re: [R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread Dirk Eddelbuettel
On 28 October 2012 at 13:21, Alex Grund 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

Re: [R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread Alex Grund
Hi Dirk, thanks for your reply. 2012/10/28 Dirk Eddelbuettel e...@debian.org: There are libraries full of papers and dissertations on this. Okay, could you please mention a few valuable papers? So that I can search more? See 1). Which features? Basically, I started from the naive question:

Re: [R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread Matthew Gilbert
The books Analysis of Financial Time Series by Ruey Tsay and Statistics of Financial Markets by Franke, Hardle and Hafner are both good references. But ultimately if the end goal is to test a trading strategy why simulate your own data? It seems like a lot of work and the end result would be

Re: [R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread Alex Grund
Hi Matthew, 2012/10/28 Matthew Gilbert matthew.douglas.gilb...@gmail.com: The books Analysis of Financial Time Series by Ruey Tsay and Statistics of Financial Markets by Franke, Hardle and Hafner are both good references. Thank your for this hints! But ultimately if the end goal is to test a

Re: [R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread alexios ghalanos
You might find an agent based modelling approach useful - one interesting implementation of which can be found here: http://fimas.sourceforge.net/project_info.htm -Alexios On 28/10/12 16:24, Alex Grund wrote: Hi Matthew, 2012/10/28 Matthew Gilbert matthew.douglas.gilb...@gmail.com: The books

Re: [R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread Alex Grund
looks nice, thank you very much for the link, I'll have a more detailled look soon and will come back with my thoughts on this. --a 2012/10/28 alexios ghalanos alex...@4dscape.com: You might find an agent based modelling approach useful - one interesting implementation of which can be found

Re: [R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread Patrick Burns
If you are assuming a normal (or other symmetric) distribution for returns, then those will be log returns rather than simple returns*. So the price series will be generated by: initialPrice * exp(c(0, cumsum(returnVector))) I would suggest garch** simulations as a starting point. The most

Re: [R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread Mark Leeds
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,

Re: [R-SIG-Finance] statistical features of equity time series

2012-10-28 Thread Jeff Ryan
And in the spirit of OSS, share your code (if you get that far) with the list! Jeff On Sun, Oct 28, 2012 at 11:23 AM, Mark Leeds marklee...@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