TSUNFAIRFRACTIONAL(1) TSUNFAIRFRACTIONAL(1) NAME tsunfairfractional - unfair returns of a time series SYNOPSIS tsunfairfractional [-d] [-f fraction] [-F] [-i value] [-l lower] [-p probability] [-t] [-u upper] [-v] filename DESCRIPTION Tsunfairfractional is for generating unfair returns of a time series. The idea is to produce the returns of a time series which is weighted unfairly, by a Shannon probability, p. The input time series is pre- sumed to have a Gaussian distribution. The main function of this pro- gram is regression scenario verification-given an empirical time series, a Shannon probability, and a "wager" fraction, (which were probably derived from the program tsshannon,) speculative market pro forma performance can be analyzed. The cumulative sum process is frac- tional Brownian in nature. Note: Conceptually, this program is used to ``weight'' the returns of a time series with a Gaussian distribution, ie., produce a fractional Brownian motion time series, as opposed to a Brownian distribution. The program should be regarded as experimental, and used with caution. OPTIONS -d The input file is a derivative instead of an integral. -f fraction Fraction of reserves to be wagered, (0 <= fraction <= 1). -F output time series is fraction of reserves wagered -i value Initial value of output time series (ie., initial reserves). -l lower lower limit to interval losses -p probability Shannon probability, (0.5 <= probability <= 1.0). -t Sample's time will be included in the output time series. -u upper upper limit to interval gains -v Print the version and copyright banner of the program. WARNINGS There is little or no provision for handling numerical exceptions. SEE ALSO tsderivative(1), tshcalc(1), tshurst(1), tsintegrate(1), tslogre- turns(1), tslsq(1), tsnormal(1), tsshannon(1), tsblack(1), tsbrown- ian(1), tsdlogistic(1), tsfBm(1), tsfractional(1), tsgaussian(1), tsin- tegers(1), tslogistic(1), tspink(1), tsunfairfractional(1), tswhite(1), tscoin(1), tsunfairbrownian(1), tsfraction(1), tsshannonmax(1), tschangewager(1), tssample(1), tsrms(1), tscoins(1), tsavg(1), tsXsquared(1), tsstockwager(1), tsshannonwindow(1), tsmath(1), tsavgwindow(1), tspole(1), tsdft(1), tsbinomial(1), tsdeterministic(1), tsnumber(1), tsrmswindow(1), tsshannonstock(1), tsmarket(1), tsstock(1), tsstatest(1), tsunfraction(1), tsshannonaggregate(1), tsin- stant(1), tsshannonvolume(1), tsstocks(1), tsshannonfundamental(1), tstrade(1), tstradesim(1), tsrunlength(1), tsunshannon(1), tsroot- mean(1), tsrunmagnitude(1), tskurtosis(1), tskurtosiswindow(1), tsroot- meanscale(1), tsscalederivative(1), tsgain(1), tsgainwindow(1) tscauchy(1), tslognormal(1), tskalman(1), tsroot(1), tslaplacian(1) DIAGNOSTICS Error messages for incompatible arguments, failure to allocate memory, inaccessible files, and opening and closing files. AUTHORS ---------------------------------------------------------------------- A license is hereby granted to reproduce this software source code and to create executable versions from this source code for personal, non-commercial use. The copyright notice included with the software must be maintained in all copies produced. THIS PROGRAM IS PROVIDED "AS IS". THE AUTHOR PROVIDES NO WARRANTIES WHATSOEVER, EXPRESSED OR IMPLIED, INCLUDING WARRANTIES OF MERCHANTABILITY, TITLE, OR FITNESS FOR ANY PARTICULAR PURPOSE. THE AUTHOR DOES NOT WARRANT THAT USE OF THIS PROGRAM DOES NOT INFRINGE THE INTELLECTUAL PROPERTY RIGHTS OF ANY THIRD PARTY IN ANY COUNTRY. Copyright (c) 1994-2006, John Conover, All Rights Reserved. Comments and/or bug reports should be addressed to: john@email.johncon.com (John Conover) ---------------------------------------------------------------------- January 27, 2006 TSUNFAIRFRACTIONAL(1)