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Bayesian Monte Carlo Valuation of Price Volume Action

version 20.0.0.1 (151 KB) by Chondrally
Density Functional Bayesian Monte Carlo Valuation of Price Volume Action w/MUSIC & Kelly Criterion

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Updated 05 Mar 2021

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A multipath simulation to evaluate the integrated price volume action value into the future
This program is very similar to Bayesian Markov Stochastic Monte Carlo American Option Pricing with Kelly Criterion.
It uses special code to combine price and volume into an action over time which is integrated to see the temporal effect of price and volume. The value displayed by the call and put sections and black scholes is not a real dollar amount, but a value of integrated price volume action. To give some idea about how price and volume will affect value over time. In conjunction with the other program, an expert can judge whether an investment is worth it or not and what the risk is and what the probability of winning within a certain amount of time is. The kelly criterion is still valid and one should use the kelly criterions from this program and not the dollar program. Care should be taken over whether to wager with the Fourier extrapolation trend or whether to go with the statistics. Only an expert can judge if they are saying different things. If BOTH the statistics and Fourier trend are on the same side of the ledger, you can bet that your wager is safer still. A MUltiple SIgnal Classification is also carried out (MUSIC) which allows Fourier Extrapolation is also carried out.

Cite As

Chondrally (2021). Bayesian Monte Carlo Valuation of Price Volume Action (https://www.mathworks.com/matlabcentral/fileexchange/56446-bayesian-monte-carlo-valuation-of-price-volume-action), MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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