Description Usage Arguments Details Value Author(s) Examples
A collection of functions to produce time series using stochastic processes.
1 |
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 |
The 'ou.process' function generates a mean-reverting time series according to the Ornstein-Uhlenbeck process.
An xts object containing a time series of values representing asset prices whose evolution is defined by the given process.
Brian Lee Yung Rowe
1 | series <- ou.process(1, 1.2, 0.3, obs=50)
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Loading required package: futile.any
Loading required package: lambda.r
Loading required package: futile.logger
Loading required package: timeDate
Loading required package: quantmod
Loading required package: xts
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: TTR
Version 0.4-0 included new data defaults. See ?getSymbols.
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