Simulating Financial Prices: Journal of the Operational Research Society: Vol 40, No 6

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Abstract

A method is described for simulating daily financial prices using appropriate statistical models. Simulated open, high, low and close prices can be obtained. These simulated prices are required for a rigorous evaluation of trading systems. Appropriate software based on the models has been used by a futures trader to improve his trading decisions.

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Simulating Financial Prices

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Simulating Financial Prices

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