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Hello,

have a peek at copulas: http://www.mathworks.com/products/statistics/demos.html?file=/products/demos/shipping/stats/copulademo.html

On the second thought, just what does not work? Maybe there's something wrong with your
correlation matrix? By definition correlation matrix has to be positive semi-definite.

Hi!

Sorry that I answer so late, but I have been out for the weekend.
I do not know just what your problem is. I have no porblems to generate arbitrary corelated values using the cholesky...

In that situation check this out

https://www.nigeriaforextrading.com/trading-system-and-egies/104-trading-journal.html

Where will the data come from? I mean, its an OTC market, so each liquidity supplier will generate different pair of tick data and the differences can between data feeds from brokers can be very...