Skewness & Kurtosis
- From: "Chris Smith" <cjb97@xxxxxxxxx>
- Date: Thu, 21 Jun 2007 12:00:10 -0400
Hi, I was wondering if anyone could help. I'm trying to generate
simulated stock price data (basically just a random walk)-
specifically 4 different types of stocks:
High trend/ slope, high variance
High trend/ slope, low variance
Low trend/ slope, high variance
Low trend/ slope, low variance.
I'd like to keep the skewness and kurtosis constant (ideally between
all four types). The only things I'd like to change are the mean and
the variance.
I've tried lots of things, but the thing that is causing the
difficulty is generating the different gradient/slopes and keepinf
all the other moments constant.
Any help would be greatly appreciated!!
Chris
.
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