Wednesday, July 30 -- Distributions, central limit theorem, simulating random walks

1. (40 minutes) Simulating stock price time series I -- a first approximation: tossing coins Worksheet 1

2. (30 minutes) Rise and Fall of Stock Prices Worksheet 2

3. (10 minutes) Break

4. (40 minutes) Distribution of Log Returns Worksheet 3

5. (20 minutes) Simulating financial time series II -- Computer simulation of random walks/Brownian motion. Worksheet 4

6. (10 minutes) Stock trading
7. Reading assignment: Read as much as you can up to page 196 of Part II of Mandelbrot's "The (Mis)behavior of Markets".

ws1.sws ws2.sws ws3.sws ws4.sws