Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Monte Carlo simulation

Recently, I read a thread about the Monte Carlo simulations feature needed.

I believe you can certainly do Monte Carlo on Quantopian. Monte Carlo is just a method with random simulation. If you can do it on Python, so certainly you can do it on Quantopian.

The following is I used truncated Euler method to do CIR model simulation, which is very crude, but enough to show MC you want. (you can ignore the order of AAPL part)

3 responses

And the following is a more complicated one for get much more precise result of CIR model through simulation, if you need.

Why would you generate a time series followed by a MC simulation? Is there any benefits of using MC in an algorithm?

I think cross sectional bootstrapping would make more sense , though I don't think it's possible given current computational power provided.