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fractalrock (version 1.1.0)

Generate fractal time series with non-normal returns distribution

Description

The basic principle driving fractal generation of time series is that data is generated iteratively based on increasing levels of resolution. The initial series is defined by a so-called initiator pattern and then generators are used to replace each segment of the initial pattern. Regular, repeatable patterns can be produced by using the same seed and generators. By using a set of generators, non-repeatable time series can be produced. This technique is the basis of the fractal time series process in this package.

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Install

install.packages('fractalrock')

Monthly Downloads

70

Version

1.1.0

License

GPL-3

Last Published

February 5th, 2013

Functions in fractalrock (1.1.0)

process

Generate a time series based on stochastic processes
getPortfolioPrices

Generate portfolio prices using the fractal process
plotReturns

Plot asset prices and returns for fractal analysis
fractalrock-package

A package for generating time series data using fractals
sampleGenerators

Sample patterns for fractal generation of time series
sampleInitiators

Sample seed for fractal generation of time series
fractal

Create time series based on fractal generators