Published by differential enterprises on 2024-06-14
MCarloRisk3D Overview
What is MCarloRisk3D? The Monte Carlo Forecaster app allows users to generate Monte Carlo forecast models for a portfolio of stocks, ETFs, and popular crypto assets, accounting for inter-portfolio historical return correlations. The app includes extensive backtesting and tuning features, allowing users to adjust model parameters and estimate over/under probability at various future times. The app also includes the ability to construct multiple regression models and compute novel beta metrics. The app uses empirical daily returns to generate forward-in-time Monte Carlo paths, with user-adjustable long memory modifications. The app aggregates Monte Carlo paths into a (price, time, probability) surface, allowing users to visualize the surface in 3D and with shaded contour plots. The app also includes the ability to estimate put/call prices and compare modeled prices with market prices. Detailed training and examples are available online in the Help tab. Raw price data is sourced from IEX Exchange or cryptocompare.com.
1. Bubble grid plot of market put/call open interest, open interest * price, and raw put/call price at all published market expiry dates and strike prices (IEX Cloud-supplied data): to visualize where investors are putting their money on the options grid.
2. Allows user to move sliders to slice thru and examine this surface (e.g. price over time versus probability) and visualize the surface in 3D and with shaded contour plots.
3. Resamples from empirical daily returns to generate forward-in-time monte carlo paths (random walks), with user-adjustable long memory modifications such as the Hurst exponent, serial resampling, and fractional differencing.
4. Set strike price to slice thru probability surface along time axis to estimate probability over/under strike at a given time forward, or cumulatively up to a given time.
5. Estimate put/call prices using the model you build and verify (not limited to market expiry or strike).
6. Compare modeled put/call prices w/ market put/call prices at published market expiry dates and strikes.
7. Aggregates monte carlo paths into a (price, time, probability) surface.
8. This is especially useful for new assets such as crypto or more exotic equities such as TSLA that may not conform to normal or lognormal return assumptions, especially in shorter time periods.
9. Compare market option prices at a grid point to your modeled prices.
10. Monte Carlo forecaster from raw asset price data including crypto, with extensive backtesting and tuning.
11. Similarly, fractional Brownian motion becomes fractional Empirical motion in this app, for one of the long memory options.
Download and Install MCarloRisk3D - PC
Download for PC - server 1 -->
Pcmacstore.com 
