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Author: William A. Stein
2008/simuw/day2
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2008/simuw/day2

Wednesday, July 30 -- Distributions, central limit theorem, simulating random walks

  1. (40 minutes) Simulating stock price time series I -- a first approximation: tossing coins Worksheet 1

  2. (30 minutes) Rise and Fall of Stock Prices Worksheet 2

  3. (10 minutes) Break
  4. (40 minutes) Distribution of Log Returns Worksheet 3

  5. (20 minutes) Simulating financial time series II -- Computer simulation of random walks/Brownian motion. Worksheet 4

  6. (10 minutes) Stock trading
  7. Reading assignment: Read as much as you can up to page 196 of Part II of Mandelbrot's "The (Mis)behavior of Markets".

ws1.sws ws2.sws ws3.sws ws4.sws


2013-05-11 18:32