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How can I create a monte carlo from a monte carlo?

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  1. #1
    Registered User
    Join Date
    07-30-2010
    Location
    Oregon
    MS-Off Ver
    Excel 2007
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    44

    How can I create a monte carlo from a monte carlo?

    I have created a Monte Carlo simulation from a data set of over 8000 variables. The monte carlo randomly generates 100,000 outputs using the probabilities from the sample. There are significant probabilities of small losses, and small probabilities of large gains. The long term expected return is a positive number

    This all works just fine. I am able to create charts of the cumulative results of the first 1,000, first 10,000 and 100,000 randomly generated results.

    The question I have, I would like to use this monte carlo data to determine the probability of dropping X points over Y runs. I would like two cells to contain inputs.

    For example, In cell A1 I can input the starting points, say, 1000, and in cell B1 I can input the number of games, say, 10000. Using the monte carlo information, I'd like something to spit out the probability of reaching 0 given I start with 1000 points and play 10000 games.


    Reminder: I already have a working Monte Carlo. Brute force I could click the Monte Carlo button I created and run through the scenario 100,000 times to get a decent estimate of the probability, but obviously this isn't feasible. It's almost as if I am asking for a Monte Carlo on a Monte Carlo. If you need more details I can share.


    Thanks in advance
    Last edited by rrbest; 10-09-2010 at 03:16 AM.

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