| Article ID: | iaor1989208 |
| Country: | United Kingdom |
| Volume: | 40 |
| Issue: | 6 |
| Start Page Number: | 567 |
| End Page Number: | 569 |
| Publication Date: | Jun 1989 |
| Journal: | Journal of the Operational Research Society |
| Authors: | Taylor S.J. |
A method is described for simulating daily financial prices using appropriate statistical models. Simulated open, high, low and close prices can be obtained. These simulated prices are required for a rigorous evaluation of trading systems. Appropriate software based on the models has been used by a futures trader to improve his trading decisions.