Materials for doing stochastic simulations with Julia
The code was tested under Julia 1.10.1.
- Download the repository to your local folder.
- In this forlder start Julia with the
julia --project
command. - Run
] instantiate
command to set up your project environment (it needs to be done only once; pressing]
switches you to package manager mode) - Then press to go back to command mode.
- Run
using IJulia
- Run
notebook(dir=pwd())
.
After running these commands Jupyter Notebook will start where you can run five notebooks:
- Part_1.ipynb: introduction to random number generation in Julia
- Part_2.ipynb: simulation of AR(1) process
- Part_3.ipynb: a simple agent simulation
- Part_4.ipynb: pricing financial options using Monte Carlo simulation
- Part_5.ipynb: reproduction of an example simulation model from a paper on volatility clustering on financial markets