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Thread: Monte Carlo Simulation - Iterations and Replications

  1. #1 Monte Carlo Simulation - Iterations and Replications 
    Forum Freshman
    Join Date
    Mar 2012

    What are iterations and replications in Monte Carlo simulation?

    I'm thinking that number of iterations are sample size at the same time.

    Replication would be if I run Monte Carlo simulation for a certain number of times over sample size.

    Thanks in advance.

    Best regards.

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  3. #2  
    Forum Freshman
    Join Date
    Oct 2012
    Provence (South east of France)
    I have used Monte Carlo simulation in order to compare investment strategies.
    For one strategy, the model simulated the daily evolution of the the market price for year : that is around 250 iterations.
    The same strategy was replicated 10 000 times and the results memorized. This way, I got an estimation of the average earning but also of the maximum loss a maximum profit of this strategy.

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