Timeline for How to generate a random price series with a specified range and correlation with an actual price?
Current License: CC BY-SA 3.0
7 events
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| Dec 21, 2013 at 16:02 | comment | added | Hans | @babelproofreader, Suminda Sirinath Salpitikorala and Samik R: I do not know how exactly the QuantumFading author does the randomization, however, the way babelproofreader does it dos not generate the required time series. babelproofreader has not provided a mathematical rationale for his method. In fact, the expected covariance between the original series and its frequency randomized series is $0$. | |
| Dec 6, 2011 at 18:03 | comment | added | Samik R | Please let us know if you can work this out. Will be definitely interested to hear. | |
| Nov 29, 2011 at 23:21 | comment | added | babelproofreader | This is such an intriguing approach that I may "knock up" some Octave code on my blog and post a link to it from here. | |
| Nov 29, 2011 at 23:16 | comment | added | babelproofreader | Interesting link! I theorise that one way it could be done is to apply a Fast Fourier Transform (e.g. FFT function in Octave/MATLAB) to the original series, then divide the resulting vector into segments and within each separate segment randomly permute the values, and finally reconstruct the time series by applying the Inverse Fast Fourier Transform (IFFT function). By randomly permuting the values you will not alter the amplitudes of the composite sine waves but will slightly alter their periodicity - this will naturally tend to restrict the range of the new series to that of the original. | |
| Nov 29, 2011 at 18:44 | comment | added | Suminda Sirinath S. Dharmasena | Is it possible for some one to post how exactly this is done. Also keeping in mind the range criteria. | |
| Nov 29, 2011 at 18:43 | vote | accept | Suminda Sirinath S. Dharmasena | ||
| Nov 29, 2011 at 18:43 | |||||
| Nov 29, 2011 at 17:50 | history | answered | Samik R | CC BY-SA 3.0 |