fractalrock (version 1.1.0)

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)