Previously, I tried to model open, high and low prices as a log-profit distribution relative to the previous close. However, this doesn't really make sense. A much more realistic model is to introduce a separate distribution for high frequency intraday samples (default 1 min) and derive OHL from those.
Previously, I tried to model
open,highandlowprices as a log-profit distribution relative to the previousclose. However, this doesn't really make sense. A much more realistic model is to introduce a separate distribution for high frequency intraday samples (default 1 min) and derive OHL from those.Part of #130 Part of #116