Monte Carlo Simulations?

Which is better for Monte Carlo simulations?

  • Matlab?

    Votes: 3 33.3%

  • Mathematica

    Votes: 2 22.2%

  • Other

    Votes: 4 44.4%
  • Total voters
    9
Quote from total_keops:

In Monte Carlo you dont care about the numbers themself but rather on their distribution. And it's a desirable feature to have pseudo random number because you can re-run the same simulation many times or run a different simulation with the same numbers.
But you are right, they are not random, they are pseudo random.
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But don't they have the feature to randomize your random sequence to get a new sequence every time you run it?
 
Quote from gkishot:

But don't they have the feature to randomize your random sequence to get a new sequence every time you run it?
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In Matlab you can do both, you can set it to restart at the same place randn('state',0); or if you omit it it will restart from where it was thus giving you "new" numbers.
 
Quote from intradaybill:

Good post. I wonder if trully random number exist, since they always depend on the seed and thus the sequence will be repeated at some point in time.
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Pseudo random numbers will be repeated after a while so you have to be carefull about that in your implementation. I dont remember what it is for Matlab.
Only god knows if randomness exists.
 
@Monty21,

it depends what MC simulation you are looking for.

If you will only "stress test" your system (so-called system simulation), you can use even Excel. The problem is the simulation speed. You can see a comparison on my website:
http://www.zentrader.de/mcs_performance_e.pdf

But if you'll also test your system with "pseudo" random data (so-called data simulation) you have to generate specific algorithms (which is a little work). More info here:
http://www.zentrader.de/html/monte_carlo_simulator1.html

bye,
Volker
 
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