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Correlated Random Number Generation

 
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Lim



Joined: 27 Oct 2004
Posts: 7

PostPosted: Wed Oct 27, 2004 3:08 am    Post subject: Correlated Random Number Generation Reply with quote

Can anyone explain to me how to generate correlated random numbers. If possible, could you send me an example in excel or VBA. TQ very much. Crying or Very sad
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Anthony
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Joined: 29 Sep 2004
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Location: New York, USA

PostPosted: Wed Oct 27, 2004 3:28 pm    Post subject: Reply with quote

Lim,

What do you mean by that? Could you provide an example?

Anthony
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Lim



Joined: 27 Oct 2004
Posts: 7

PostPosted: Wed Oct 27, 2004 8:36 pm    Post subject: Reply with quote

Assuming I need to generate three correlated random numbers. All of them are normally distributed. I manage to generate the normally distrbuted random number individually or two correlated random number. But I encounter difficulty to generate the three correlated random number. For example, forex return on EUR, JPY and GBP.
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Anthony
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Joined: 29 Sep 2004
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PostPosted: Wed Oct 27, 2004 10:17 pm    Post subject: Reply with quote

Lim,

Please check my Multivariate probability distribution example. You can easily use that example for your purpose.

Anthony
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PostPosted: Wed Nov 03, 2004 1:28 pm    Post subject: Re: Correlated Random Number Generation Reply with quote

[quote="Lim"]Can anyone explain to me how to generate correlated random numbers. If possible, could you send me an example in excel or VBA. TQ very much. Crying or Very sad[/quote] Sad Sad Sad Sad Sad Sad Surprised Surprised Smile Smile Smile Crying or Very sad Crying or Very sad Crying or Very sad Crying or Very sad Crying or Very sad
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Anthony
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Joined: 29 Sep 2004
Posts: 36
Location: New York, USA

PostPosted: Wed Nov 03, 2004 5:00 pm    Post subject: Reply with quote

Lim,

Please read the multivariant distribution example. It will help you to geneate the random number. In about a month, I will have all the examples available in Excel files for download for a fee ($9.95).

If you always know how to incorporate the codes into Excel, you can do it yourself. Just copy and paste the code into a module and follow the instruction from the example.

Step 4 is the part that generate the numbers.
'** 4. Generate random numbers from a multivariant standard normal distribution and compute the probability. In your prior question about the FX, each currency will have its own random number and the number is correlated with others.

Please sign my guest book and fill all the questions. Thanks.

Anthony
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