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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
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    Hello,

    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
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    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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