Simulating Full OHLC Stock Bars with Monte Carlo

Summary

The document asks how to extend Monte Carlo stock simulations from closing prices to full open, high, low, and close bars. It points to an existing Octave and C++ function for generating synthetic price data as a starting point for building such a simulator.

No modeling assumptions, algorithm details, validation results, or comparison with observed market bars are included. The cited implementation is only suggested as inspiration, so the document does not establish how accurately the method represents intrabar price behavior or how it should be adapted to a particular risk model.

Key ideas

• Monte Carlo simulations can be extended beyond closing-price paths to model full OHLC bars.
• An existing Octave and C++ implementation is suggested as a starting point for synthetic bar generation.
• The document provides no details to assess the method’s assumptions or accuracy.

Tags

# How to model High/Low prices for Stocks with Monte Carlo


# How to model High/Low prices for Stocks with Monte Carlo












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.

## Answer by babelproofreader (score 4)

https://quant.stackexchange.com/a/40921

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.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.