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Re^3: Generating Stock Price Data

by whakka (Hermit)
on Sep 09, 2009 at 17:38 UTC ( #794420=note: print w/ replies, xml ) Need Help??


in reply to Re^2: Generating Stock Price Data
in thread Generating Stock Price Data

"When you look at stock price movements the decline in prices is nearly always faster that the previous increase by at least a factor of two and usually greater."

Do you have the source for this? It sounds like an interesting read. I can see where that might be the case for bubbles, but I didn't know such a thing was so prevalent.

As to your last point, I would argue that the sheer volume of existing historical data probably encompasses more possible trends than one can invent. Especially if you think prices are psychologically driven, then you'd expect the trends to repeat themselves over and over again, no?


Comment on Re^3: Generating Stock Price Data
Re^4: Generating Stock Price Data
by TeraMarv (Beadle) on Sep 09, 2009 at 23:42 UTC
    I can't remember the source of that information at present. I will post it if it comes to me later.

    It may be that human psychology stays the same and that this should mean that patterns in stock price movements may develop and repeat but by using generated data it avoids curve fitting the trading system to a specific data series. Again a psychological aspect.

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