rfractal: Create time series based on fractal generators

In zatonovo/fractalrock: Generate fractal time series with non-normal returns distribution

Description

The fractal function generates a time series of points using basic principles of fractal patterns. Fractal generation can be used to simulate a time series of asset prices, which has been shown to better reflect the distribution of returns than using a Gaussian random walk. Any number of points can be generated based on specifying the total count or by running over a number of epochs. The range of the data is defined by the given seed for the generation plus the available patterns.

Arguments

n	Number of samples to generate
initiator	The initiator function. Defaults to rinitiator
generator	The generator function. Defaults to rgenerator

Value

An xts object containing a time series of values representing asset prices

Usage

rfractal(n, initiator=rinitiator, generator=rgenerator)

References

M. Frame, B. Mandelbrot, N. Neger. Fractal Geometry. 2009. http://classes.yale.edu/fractals/

zatonovo/fractalrock documentation built on May 15, 2021, 7:28 p.m.