R: Generate portfolio prices using the fractal process
getPortfolioPrices
R Documentation
Generate portfolio prices using the fractal process
Description
This function will construct a portfolio of asset returns based on the time
range specified or the number of 'observations' requested. The resulting time
series will be based on the specified calendar, as defined by getTradingDates
that uses the timeDate package under the hood.
The names of the assets to generate prices for. This determines the total number of time series generated.
end
The last date in the time series
start
The starting date of the time series. All non-business days are removed in the resulting range. Either start or obs must be set.
obs
The total number of points to generate. The dates will follow a business day calendar as defined by timeDate, defaulting to NYSE. Either start or obs must be set.
calendar
The business day calendar to use. Defaults to NYSE.
seeds
A list of initiators to use for generating the time series
patterns
A list of generators to use for generating the time series
...
Additional arguments to send to the fractal generator
type
The type of fractal process to use. Defaults to uniform.
Details
The main entry point is getPortfolioPrices, which generates a TxM xts object
based on the symbols provided. Prices generated by this function can be used
in risk modeling, as a substitute for brownian motion in Monte Carlo
simulations, and backtesting applications. Studying fractal generation of
time series can be accomplished more directly by calling
fractal.
In addition to the arguments above, it is necessary to pass the appropriate
arguments to the the underlying fractal call. This includes passing in a seed
and generator patterns. If none are provided predefined sets will be used,
although users of this package are encouraged to create their own initiators
and generators.
The getTradingDates function is a utility to generate proper business days for
a given calendar. This is used to be compatible with other applications that
load actual asset data.
Value
An xts object with either obs rows or points in the range [start,end] and
a time series for each symbol provided.
Note
In the future, it may be possible to generate time series with an explicit
R/S value or Hurst exponent.