Apr

4

Question, from Sushil Kedia

April 4, 2009 |

What may be a good way for generating synthetic series of stock prices that shows OHLC for each day? What assumptions are reasonable to make in this endeavor?

Adam G Replies:

How about bootstrapping an existing series to remove any serial correlation (which also would remove any persistence of vol shocks)? Could carry further and mix and match daily “bars” from various instruments into one synthetic in random order.


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