Monte Carlo Simulations?

Discussion in 'Trading Software' started by monty21, Jun 27, 2009.

Which is better for Monte Carlo simulations?

  1. Matlab?

    3 vote(s)
    33.3%
  2. Mathematica

    2 vote(s)
    22.2%
  3. Other

    4 vote(s)
    44.4%
  1. monti1a

    monti1a

    Poptools...is a free program and very good.
     
    #11     Jun 28, 2009
  2. vita

    vita

    #12     Jun 28, 2009
  3. gkishot

    gkishot

    But don't they have the feature to randomize your random sequence to get a new sequence every time you run it?
     
    #13     Jun 28, 2009
  4. In Matlab you can do both, you can set it to restart at the same place randn('state',0); or if you omit it it will restart from where it was thus giving you "new" numbers.
     
    #14     Jun 28, 2009
  5. Pseudo random numbers will be repeated after a while so you have to be carefull about that in your implementation. I dont remember what it is for Matlab.
    Only god knows if randomness exists.
     
    #15     Jun 28, 2009
  6. @Monty21,

    it depends what MC simulation you are looking for.

    If you will only "stress test" your system (so-called system simulation), you can use even Excel. The problem is the simulation speed. You can see a comparison on my website:
    http://www.zentrader.de/mcs_performance_e.pdf

    But if you'll also test your system with "pseudo" random data (so-called data simulation) you have to generate specific algorithms (which is a little work). More info here:
    http://www.zentrader.de/html/monte_carlo_simulator1.html

    bye,
    Volker
     
    #16     Jul 12, 2009
  7. QuantLib may do what you need and its free/open source.

    http://quantlib.org/index.shtml

    They have an excel plug-in or you can call it from other programs.

    Try it out and see how it works. I would be interested to hear how well it works out for you.

    Eric
     
    #17     Jul 12, 2009