How do I artificially generate intraday ticks data from a given input (Open,High,Low,Close,Volume) using Brownian Bridge method?


P.S: Brownian Bridge can generate ticks only with 2 nodes. (with some modification to existing brownian bridge, I think it can be extended to 4 nodes and follow the number of Volume ticks).

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    $\begingroup$ How do you plan to generate data through the high and low price when you don't know the point in time at which those prices occurred? $\endgroup$ Dec 1 '14 at 14:35
  • $\begingroup$ The data (ticks) will be artificially generated, and doesn't need time factor since it only need an OHLCV as inputs. $\endgroup$
    – dns
    Dec 1 '14 at 21:02
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    $\begingroup$ Can't you just model and randomly estimate the time when the highs and lows occur? After that it should be straight forward. $\endgroup$
    – jaamor
    Dec 1 '14 at 21:27
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    $\begingroup$ @jaamor You could do that, but those times will not be independent I suppose. I think the result wouldnt look too good. I would take the high and low value and use it as a dispersion measure to improve my intraday volatility estimator and then create BB paths from it. They will, in general, not reach the high and low values but the question is: Does it make sense to enforce this? $\endgroup$
    – vanguard2k
    Dec 2 '14 at 12:10
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    $\begingroup$ Here is an engineer's quick and dirty solution: Do what you just said, but generate several paths. Keep the paths where the highs and lows are closer to the actual ones. $\endgroup$
    – jaamor
    Dec 2 '14 at 14:01

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