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Quantitative Finance

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    $\begingroup$ I certainly don't mean to offend anyone by wanting synthetic data in addition to historical data. I just want to be able to isolate trends with specific volatility parameters, and hence give me a wider range of data to work with. Of course, the synthetic data would have a smaller weight on my overall decision about a strategy; but if I make some small change that has inadvertent side effects on some cases that don't happen to show up in my historical data, it would be better to know about it. I'm sure that if real data were as easy as a Gaussian, this forum wouldn't exist. $\endgroup$ Commented Aug 16, 2011 at 1:44
  • $\begingroup$ And of course, thanks so much for your specific reference! I'll check it out and maybe add another comment with what I find. $\endgroup$ Commented Aug 16, 2011 at 1:47
  • $\begingroup$ So, I guess that raises the question: what "conditional" process controls the heteroskedasticity? Are there any known models that seem to work similarly to a particular subset of real-world data? $\endgroup$ Commented Aug 16, 2011 at 2:02
  • $\begingroup$ @bean no one is offended. I just think that for FX simulating data is usually not worth the effort. But, if you want to go ahead anyway, I suggest you match the level of sophistication of your simulation to the sophistication of your trading algorithm. $\endgroup$ Commented Aug 16, 2011 at 10:11
  • $\begingroup$ Say I'm not interested in simulating HFT. Assuming we look at weekly trends, perhaps the data fits some kind of known distribution/process in an easier way? Or at least the relationships of OHLC pieces is more tractable? $\endgroup$ Commented Aug 17, 2011 at 22:05