METHOD AND SYSTEM FOR SIMULATION OF ASSET VARIATION OF ASSET MANAGEMENT AND METHOD FOR GENERATING PSEUDO- RANDOM NUMBER USED FOR THE SAME SIMULATION

摘要

PROBLEM TO BE SOLVED: To provide a method and a system which actualizes simulation with good convergence for highly-dimensional asset variation which has a dimensional number exceeding at least 102 and also has correlative variation elements. SOLUTION: To simulate the variation of asset having the variation elements of 102 in dimension number, a pseudo-random number which has cycles exceeding the product of the dimension number of the variation elements of the asset and a frequency of simulations needed for convergence of a simulation result on within a specific error and which also has an equal distribution for each variation element is generated (S32) by a computer and then adjusted (S33) by the computer so that at least the primary moment and secondary moment of the variation elements match input data. The adjusted pseudo-random number is used as a value of a variation element of the asset and the variation of the asset is simulated (S34) by the computer.