https://github.com/magnushelliesen/monte-carlo-simulator

Notebook that implements a class that performs Monte Carlo simulations for a number of timeseries that may co-vary.
https://github.com/magnushelliesen/monte-carlo-simulator

eigenvalues eigenvectors monte-carlo-simulation

Last synced: about 2 months ago
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Notebook that implements a class that performs Monte Carlo simulations for a number of timeseries that may co-vary.

• Host: GitHub
• URL: https://github.com/magnushelliesen/monte-carlo-simulator
• Owner: magnushelliesen
• License: mit
• Created: 2023-10-23T19:42:53.000Z (over 2 years ago)
• Default Branch: main
• Last Pushed: 2025-03-02T09:14:56.000Z (over 1 year ago)
• Last Synced: 2025-12-28T08:24:01.152Z (6 months ago)
• Topics: eigenvalues, eigenvectors, monte-carlo-simulation
• Language: Jupyter Notebook
• Homepage:
• Size: 15.4 MB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

          
# monte-carlo-simulator

[Notebook](https://github.com/magnushelliesen/monte-carlo-simulator/blob/main/monte-carlo-simulator.ipynb)

that implements a homemade

[class](https://github.com/magnushelliesen/monte-carlo-simulator/blob/main/monte_carlo/monte_carlo.py)

which performs Monte Carlo simulations (using [eigen decomposition](https://en.wikipedia.org/wiki/Eigendecomposition_of_a_matrix)) for a number of timeseries that may or may not co-vary.

Simulations look something like this (found in previously mentioned [notebook](https://github.com/magnushelliesen/monte-carlo-simulator/blob/main/monte-carlo-simulator.ipynb)):

![dnb](https://github.com/magnushelliesen/monte-carlo-simulator/assets/104299371/6e87ed8a-05fd-4263-9cc0-3e4b596ee80a)