4. Time Series Simulation

This is the sixth video that goes through the fortitudo-tech Python package available at: https://github.com/fortitudo-tech/fortitudo.tech¹

The video goes through the fifth example which presents the stochastic differential equation (SDE) simulation that follows with the fortitudo.tech Python package.

You can use this time series simulation to validate your simulation methods. It represents approximately 20 years of trading days data.

For a deep and pedagogical walkthrough of the investment framework and methods, see Portfolio Construction and Risk Management book².

You can still contribute to the project and get perks for your contribution by becoming a paid subscriber to this publication, which will give you access to the Applied Quantitative Investment Management course⁵ and the expanding collection of exclusive case studies.

Watch the next video here:

This video is also available on YouTube³ if you prefer watching it there.

1. GitHub repository for the fortitudo.tech Python package: https://github.com/fortitudo-tech/fortitudo.tech

2. Portfolio Construction and Risk Management Book latest PDF: https://antonvorobets.substack.com/p/pcrm-book

3. fortitudo.tech Python package walkthrough YouTube playlist: https://www.youtube.com/playlist?list=PLfI2BKNVj_b2rurUsCtc2F8lqtPWqcs2K