fractalrock (version 1.0.2)

process: Generate a time series based on stochastic processes

Description

A collection of functions to produce time series using stochastic processes.

Usage

ou.process(theta, mu = 0, sigma = 1, initial=mu, end = Sys.Date(), start = NULL, obs = NULL)

Arguments

theta

Rate of dissipation

mu

Mean

sigma

Volatility

initial

Initial value

end

The end date

start

The starting date

obs

Number of observations to produce

Value

• An xts object containing a time series of values representing asset prices whose evolution is defined by the given process.

Details

The 'ou.process' function generates a mean-reverting time series according to the Ornstein-Uhlenbeck process.

Examples

series <- ou.process(1, 1.2, 0.3, obs=50)