vendredi 10 juin 2016

How do I simulate returns from an empirically derived distribution in MATLAB (Or Python)?

I also have to keep in mind the skewness and the kurtosis of the distribution and these have to be reflected in the simulated values.

My empirical values are past stock returns (non-standard normal distribution).

Is there an existing package that will do this for me? All the packages I see online have only the first two moments.




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