Wednesday, July 30 -- Distributions, central limit theorem, simulating random walks
(40 minutes) Simulating stock price time series I -- a first approximation: tossing coins Worksheet 1
(30 minutes) Rise and Fall of Stock Prices Worksheet 2
- (10 minutes) Break
(40 minutes) Distribution of Log Returns Worksheet 3
(20 minutes) Simulating financial time series II -- Computer simulation of random walks/Brownian motion. Worksheet 4
- (10 minutes) Stock trading
- Reading assignment: Read as much as you can up to page 196 of Part II of Mandelbrot's "The (Mis)behavior of Markets".