Strata of Monte Carlo

Strata of Monte Carlo

This will be the final Monte Carlo related post for a while. Good job, really, I can’t keep coming up with titles! I am hoping this one will pull together some of the the themes nicely and show a really cool way of implementing MC integrations using a procedure...
Monte Carlo Integration: Fill the Space

Monte Carlo Integration: Fill the Space

When completing a Monte Carlo integration it makes a difference how much of the search space is occupied by the area under the curve to be integrated. The more the curve fills the space the fewer iterations are needed to complete the integration to a given accuracy.

How To Deploy New Capital In A Trading System

A while back, Jez Liberty wrote an interesting post on “How To Start Trading A New System”. This topic was brought back in mind when it was raised on the TradingBlox website in the forum thread “When To Start Your System”. I thought I would...
Monte Carlo Convergence Issues

Monte Carlo Convergence Issues

Exploring Monte Carlo convergence issues allows us to make the trade-off between estimation error and computing resources. This can have a big impact on trading system development times.