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Total Posts: 3
Joined: Sep 2019
Posted: 2019-09-14 17:43
Hello, all of my books cover simulating daily stock prices based on mean return and annualized vol but how can I properly generate minute by minute ticks that are acceptable for financial simulations? Any guidance on topics, formulas to research or major points to consider would be appreciated.


Total Posts: 70
Joined: Feb 2018
Posted: 2019-09-15 08:23
Loosely speaking, when you "zoom in" to the microstructure level prices become discrete in the sense that they may only assume values from a pre-defined grid. Therefore, it is more realistic to model market prices using a process which respects this phenomenon. One simple way would be to model the price as a pure jump process.


Total Posts: 1172
Joined: Jun 2005
Posted: 2019-09-15 11:37
discrete fits into Markov chain model: grid of nearby state-prices and transition probability matrix.

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Total Posts: 5163
Joined: Mar 2004
Posted: 2019-09-15 13:04
Bridge. Although, if it’s for a trading strategy, it will not beat a well curated tick-level dataset.

Nonius is Satoshi Nakamoto. 物の哀れ


Total Posts: 3
Joined: Sep 2019
Posted: 2019-09-22 22:27
Thanks everyone.
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