Ergodicity Breaking and the Coin Toss Game
Revealing the strangeness of ergodicity breaking with a simple game
Monte-Carlo
Simulation of Stochastic Processes
Simulating Brownian Motion and two common stochastic processes.
Exploring the Kelly Criterion: The Multi-Period Problem
Exploring how mean-variance methods and the Kelly Criterion compare in multi-period investments
Exploring the Kelly Criterion: Drawdown
Exploring the Kelly Criterion and its drawdown properties using Monte Carlo