INNER CODE UNIT · Python

generate_normal_time_series

AlexShakaev/backtesting_and_algotrading_options_with_Interactive_Brokers_API · utils/bocd.py:100

def generate_normal_time_series(num, minl=50, maxl=1000):
    data = np.array([], dtype=np.float64)
    partition = np.random.randint(minl, maxl, num)
    for p in partition:
        mean = np.random.randn()*10
        var = np.random.randn()*1
        if var < 0:
            var = var * -1
        tdata = np.random.normal(mean, var, p)
        data = np.concatenate((data, tdata))
    return data
          
if __name__ == "__main__":
    
    data = generate_normal_time_series(3)

    lambda_ = 150
    alpha = 1

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