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I'm using monte carlo simulation to model stock paths and measure risk, but I was wondering if there is a way to simulate the full bar/candle chart with open, high, low and close prices , as I'm only simulating the stock path with close prices.

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    $\begingroup$ easy, just simulate the intraday movements and calculate the charts from there. $\endgroup$ – MD-Tech Jul 24 '18 at 15:30
  • $\begingroup$ Why not doing one simulation for each ohlc? Other option would be to convert ohlc back into an ordered one column data series.. $\endgroup$ – trbck Jul 24 '18 at 16:09
  • $\begingroup$ It might be nice to generate the bars directly, potentially saves computation. I would think very carefully before using that as an input to something else though. $\endgroup$ – Bob Jansen Jul 24 '18 at 16:51
  • $\begingroup$ Are you just trying to synthesize pricing data? If so why not just use real data? $\endgroup$ – Brian O'Donnell Jul 24 '18 at 23:54
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Some time ago I wrote an Octave C++ function to do just what you want and blogged about it on my blog. The link to the relevant post is https://dekalogblog.blogspot.com/2011/08/creation-of-synthetic-data.html where the code is freely available.

This might give you some ideas about how you might code a similar function for yourself.

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