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MCarloRisk3D for Mac v6.19

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  • 0 次评分 460 次查看 12 次下载
  • 分类:财经商业
  • 标签:
  • 时间:2020年01月24日 更新 文件大小: 891.99 KB
  • 开发商:differential enterprises
  • 支持类型: Mac Mac OS X10.15或更高版本
  • 支持语言:英文等

来自Mac App Store官方介绍

Monte Carlo forecaster from raw asset price data, with extensive backtesting and tuning features.

For stocks, ETFs, and the top cryptocurrencies.

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.

No distribution shape assumptions needed, works with empirical returns distribution. 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.

Brownian motion becomes Empirical motion in this app, since we use an empirical distribution.

Similarly, fractional Brownian motion becomes fractional Empirical motion in this app, for one of the long memory options.

Aggregates monte carlo paths into a (price, time, probability) surface. 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.

Allows user to set up bulk backtests or exhaustive backtests to validate model.

Quick summary metrics of exhaustive backtests are computed to estimate model quality.

Many model tuning parameters to adjust model to observed backtests:

- add black swan events (symmetric or non symmetric)
- tune skew and volatility of historical empirical distribution
- add long memory capability to the monte carlo paths (as noted above)

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.

Estimate put/call prices using the model you build and verify (not limited to market expiry or strike).

Compare modeled put/call prices w/ market put/call prices at published market expiry dates and strikes.

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. Compare market option prices at a grid point to your modeled prices.

Detailed training and examples available online in Help tab.

Raw price data from IEX Exchange or cryptocompare.com

Hot keys for Mac added under the View menu, to switch tabs.

Be sure and check out our related app MCarloRisk3D for iPad! Also see our advanced MCarloRisk app for iPhone: adding portfolio support, folio optimization, inter-portfolio correlation analysis, and factor modeling features, using specific ETFs as surrogates for sub-market factors.

…更多…

v6.19版本新功能

Fix error in multi CPU parallel processing code which may be evident on machines with fewer CPU cores.

…更多…

相关截图 图片数: 10 张(点击图片查看大图)

  • MCarloRisk3D for Mac
  • MCarloRisk3D for Mac
  • MCarloRisk3D for Mac
  • MCarloRisk3D for Mac
  • MCarloRisk3D for Mac
  • MCarloRisk3D for Mac
  • MCarloRisk3D for Mac
  • MCarloRisk3D for Mac
  • MCarloRisk3D for Mac
  • MCarloRisk3D for Mac

下载列表 文件数: 1 文件大小: 891.99 KB举报

  MCarloRisk3D for Mac (链接无效或不能下载请点击反馈给我们)
文件名 版本 下载次数 上传时间 上传者 下载类型 操作
1. Mac App Store官方下载 免费下载 v6.19 12 2020-01-24 differential enterprises Mac 商店下载
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