MCarloRisk3D

Finance

Gratuit · Conçue pour iPad. Non validée pour macOS.

iPad

Get estimates of price / probability distribution into the future, fast, for stocks and crypto. Backtest your results. Don't just multiply volatility by root(t), do a monte carlo study and cover the extreme bases. Give the symbol-pushers a run for their money. Can your equation throw in random, out of the ordinary shocks of different magnitude and probability? This app can! MCarloRisk3D: with 3D viewing options for better understanding of the estimated probability surface. Now with price data feeds for higher market cap crypto coins. Stock price risk analyzer app for the common man. Now with optional Black Swan events and tunable forward volatility. Estimates future price distribution using random walk theory. 
Background discussion: E. Fama article on early random walk studies from the 1960's:

 http://www.ifa.com/Media/Images/PDF%20files/FamaRandomWalk.pdf

 New model calibration tutorial:

 http://diffent.com/tuning1.pdf

 The app uses prior data from the stock in question for volatility estimates. 

User can control how far back in time to use historical data to capture only the current "epoch" of a company or of the market as a whole if desired. 
Built-in backtesting, verification, and model tuning tools.

 -- Details -- 

This app models daily stock returns as a stable stochastic process and estimates a future price distribution by Monte Carlo re-sampling from an "empirical distribution" of a user-specified subset of prior (known) daily returns. 

Be sure to press the Run Monte button on the Monte Carlo tab after changing settings or downloading a new data set. 

This app downloads historical data from Google Finance as base data to resample. Prices are converted to daily returns [P(t)/P(t-1)] before resampling. The user can choose how far back to resample. By estimating a probability distribution of future prices at the user-specified investment horizon in this manner, we can give risk-of-loss estimates in thumb-rule fashion. 

Reports out estimated price and %loss estimates at the commonly used levels of 1st percentile and 5th percentile (1% and 5% risk). Also reports out median (50th percentile) price estimates at the given number of days forward. Calculations are performed on daily Closing price data. An artificial shock filter is provided, which can be used to reject the resampling of prior returns that are artificially large (due to splits or other artificial re-valuations that do not affect the underlying value of the asset). The stochastic model may be tuned or calibrated only by adjusting the maximum number of days backwards to sample or adjusting the black swan parameters. Model Validation features: 

On the Monte Carlo tab, you can withhold any number of recent days from the model and then plot the results of the stochastic risk forecast as lower-bound envelopes at 1% and %5 estimated probability (risk) levels. 

 Validate tab:

 This allows you to perform an exhaustive validation on your model by withholding several points, computing the model, comparing the forward prediction of the model versus the actual reserved data, and repeating this in increasing time sequence for all withheld points.

 A vertical "Cursor Beam" is provided that you can drag across the new plots in the Monte Carlo tab and the Validate tab to show the plotted values from several curves at once, with the values color-coded to the curves.

 Show the full price probability plot linked to the days-forward setting of the Monte Carlo graph. This is a slice thru the probability surface generated by the Monte Carlo procedure.
 The app provider makes no claims as to the suitability of this app for any purpose whatsoever, and the user should consult an investment advisor before making investment decisions.

  • Cette app n’a pas reçu suffisamment de notes ou d’avis pour en proposer un aperçu.

Rebuild under newer Xcode, add link to new OptiViz app.

Le développeur differential enterprises a indiqué que les pratiques de l’app en matière de confidentialité peuvent inclure le traitement des données tel que décrit ci‑dessous. Pour en savoir plus, consultez la politique de confidentialité du développeur .

  • Données non collectées

    Le développeur ne collecte aucune donnée avec cette app.

    Les pratiques en matière de confidentialité peuvent varier, notamment en fonction des fonctionnalités que vous utilisez ou de votre âge. En savoir plus

    Le développeur n’a pas encore indiqué quelles fonctionnalités d’accessibilité sont prises en charge par cette app. En savoir plus

    Fournisseur
    • differential enterprises
    Taille
    • 1,8 Mo
    Catégorie
    • Finance
    Compatibilité
    Nécessite iPadOS 12.0 ou version ultérieure.
    • iPad
      Nécessite iPadOS 12.0 ou version ultérieure.
    • Mac
      Nécessite macOS 11.0 ou une version ultérieure et un Mac doté d’une puce Apple M1 ou une version ultérieure.
    Langues
    • Anglais
    Copyright
    • © 2013 differential enterprises LLC