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fmeulen / example_heston.jl
Created June 8, 2022 09:30
reproducing Heston example for microstructure noise paper
using MicrostructureNoise, Distributions
using Random, Dates, LinearAlgebra, DelimitedFiles
using Bridge
using StaticArrays
using DataFrames
using CSV
const R2 = SVector{2,Float64};
Random.seed!(12)
function f(x)
y = x
zz = zeros(typeof(y[1]),10)
zz[1] = sum(x)
for i in 2:10
zz[i] = zz[i-1] + 0.01 * sum(sin.(y))
end
sum(zz)^2
end