Hi Josh, I've fixed it. Please see file attached.
adjustOHLC.R http://r.789695.n4.nabble.com/file/n4647683/adjustOHLC.R
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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
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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
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
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:
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
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
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
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
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
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,
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
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