I'm trying to test a particular trading strategy under different assumptions and would like to do so on different random time series.

I would like to be able to specify the following:

  • Start price
  • End price
  • Volatility of the time series (for some definition of volatility)
  • Total duration of the time series
  • Granularity of the data (every second, every hour, etc)

I am new to quantitative finance and have looked into several Python packages that could help me, but they all seem focused on extracting time series from existing data.

Please let me know of any appropriate package.

  • 1
    $\begingroup$ investigate brownian bridge $\endgroup$ – Attack68 Feb 3 at 19:52
  • $\begingroup$ As an alternative, consider writing a function that finds a match in actual historical data. There are millions of instruments to choose from. $\endgroup$ – Sergei Rodionov Feb 4 at 10:19

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