MFIT5011 Course Project

）]）。但是，准确

[1] Glasserman，P.（2003），“金融工程中的蒙特卡洛方法”，施普林格
（*您可以使用ITSC帐户并通过科大访问参考书的电子副本

Topic 2: Examining effectiveness of a dynamic trading strategy using Monte-Carlo simulation
In the lecture, we have demonstrated that Monte-Carlo simulation is also effective in
evaluating the profitability/return of a dynamic trading strategy. In this project, you are asked
to extend this analysis to the case when there are multiple risky assets.
Assumption: Assume that the investment period is 30 trading days.
Working Elements:
1. The first step is to construct a mathematical model that describe the future movement
of the asset stock.
 Collect historical data of several stocks (4~5 stocks) in the market over the
period 1st Jan, 2014 – 31st, Dec, 2019. You can consider the stock in United States,
Hong Kong or China etc.
 Based on the data that you obtained, fit a distribution/model to model the daily
return (as percentage return or of the stock (multivariate normal distribution,
multivariate 𝑡-distribution or linear regression model etc.). Provide justification