MonteCarlo simulation parameters used to generate simulation data

I have derived necessary information such as Mean, Std Deviation and number of days for which simulator need to generate data. This is calculated based on historical stock prices I have sourced using yahoo API.

I now want to generate 1000 stock price movement time series using this information. How can I dynamically configure Simulated Sampling tool to pick up the above information and generate values I need.

I have attached a workflow that generates one time series using python and calculates stock price movements starting from 'Last_Adj Close' for the specified number of days. I want data set with 1000 days worth simulated stock prices.

MonteCarloSample.yxzp

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Dynamic Processing

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Time Series

Accepted answers

patel_bm

@AbhilashR , @danilang @cpmonteiro

Here's my solution to the simulation problem using both Python as well Alteryx tool of Simulation Sampling using batch macros. Please don't forget to disable one of the container when running the workflow as each takes up to 15 minuted to execute depending upon machine specification.

Pardon me for not producing best of visual report of the data generated but we seem to have resolved issue of generated simulated data.

Thank you all for important inputs to the solution. Much appreciated.

MonteCarloSample_MacroBased.yxzp

All comments

cpmonteiro

Hi Simple and very interesting! Note that every time you run it, the predicted curve price has a different behavior. This is a good way to teach about volatility on stock market, and why is so important to choose good business, diversify investments and stick it to the long term. Well, on my humble point of view. Thanks for sharing it!

patel_bm

Thanks @cpmonteiro for the encouragement.

I want to create a full working sample workflow that fetches historical stock prices and generates Monte Carlo simulated prices for another year for us to further analyse them for VAR etc.

It's still work in progress.

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