GitHub repository: AnnGareeva/Monte-Carlo-Simulation-
Created: 2020-07-09T22:27:02Z
Description: Monte­‐Carlo  Simulation   Generate  distribution  of  0.01  quantile  (1%  percentile)  of  10-­‐days  overlapping   proportional  returns  obtained  from  the  3-­‐years  timeseries  (750  observations)  of   1-­‐day  returns.  Original  timeseries  is  generated  using  stable  distribution  with  the   following  parameters:  alpha  =  1.7;  beta  =  0.0;  gamma  =  1.0;  delta  =  1.0.   Show,  either  numerically  or  theoretically,  that  the  chosen  number  of  Monte-­‐ Carlo  trials  is  sufficient.   Requirements:   The  task  must  be  solved  in  R.  Program  code  should  be  clearly  written  and  well   commented.   Code  must  be  presented  along  with  report  comprising  all  necessary   mathematical  expressions,  description  of  results  and  conclusions.   Hint:   1-­‐day  returns:   r1 = Pi+1 − Pii P  ,  i=1…751   i and  Pi  is  price  at  i-­‐th  day.   n-­‐days  returns:   rni = Pi+n − Pi P   i