蒙特卡洛模拟预测股票
In a previous article, I outlined the limitations of conventional time series models such as ARIMA when it comes to forecasting extreme temperature values, which in and of themselves are outliers in the time series.
在上一篇文章中 ,我概述了常规时间序列模型(如ARIMA)在预测极端温度值时的局限性,而极端温度值本身就是时间序列中的异常值。
When dealing with extreme values, a Monte Carlo simulation can be a better solution in terms of quantifying the probability of an extreme event occurring.
在处理极端值时,就量化极端事件发生的可能性而言,蒙特卡洛模拟可能是更好的解决方案。
背景 (Background)
In the last example, the mean minimum monthly temperature values for Braemar, Scotland were used in training and validating an ARIMA model forecast. This was done using monthly Met Office data from January 1959 — July 2020 (contains public sector information licensed under the Open Government Licence v1.0).
在最后一个示例中,苏格兰Braemar的平均最低最低气温值用于训练和验证ARIMA模型预测。 这是使用1959年1月至2020年7月的大都会办公室每月数据 (包含根据《公开政府许可证v1.0》 许可的公共部门信息)完成的。
In this instance, a Monte Carlo simulation is built on the same data in an attempt to generate a scenario analysis of a range of temperature values.
在这种情况下,基于相同的数据进行蒙特卡洛模拟,以尝试生成一系列温度值的方案分析。
Firstly, let’s take a closer look at the data itself.
首先,让我们仔细看看数据本身。
This is the mean monthly minimum temperature for Braemar:
这是Braemar的平均每月最低温度:
![Image for post](https://i-blog.csdnimg.cn/blog_migrate/e0cc7cf43b48eba1965963c0d1ffbe18.png)
Let’s analyse the time series in more detail. Firstly, let’s plot a histogram of the distribution:
让我们更详细地分析时间序列。 首先,让我们绘制分布的直方图: