Refine by Content Type

Refine by Time Frame

image thumbnail

updated 5 days ago

Challenge EducEco: modèle de simulation course by Selmane Sekkai

Ce modèle contient quatres parties: le circuit, le pilote, le véhicule et la course. (educeco, student competition, simulation)

msfun_realtime_elapsed(block)

msfun_realtime_pacer(block)

ColoredTrack.m

image thumbnail

updated 11 days ago

Intro to MATLAB demo files (MATLAB入門 デモファイル) by mizuki

mizuki (view profile)

files presented at MATLAB EXPO 2014 held in Tokyo - Intro to MATLAB (map, statistics, date)

MainAnalysis

webread_findStations

importfile.m

image thumbnail

updated 2 months ago

Long Term Energy Forecasting with Econometrics in MATLAB by David Willingham

Dynamic energy demand forecasting using Econometrics (ARIMA/VAR/GARCH) (load forecasting, long term load foreca..., energy forecasting)

Medium / Long Term Energy Forecasting with Econometrics

createFit(Datein, Fin)

createFit1(x, y)

image thumbnail

updated 5 months ago

Single Channel Blind Separation using Pseudo-Stereo Mixture and Complex 2D Histogram by bin gao

bin gao (view profile)

This code is for Single Channel Audio Separation (signal processing, demo, audio processing)

bss_eval_sources.m

idealmask(x1,xclean,xresid,Fs,awin,timestep,numfreq,est1,...

tfanalysis(x,awin,timestep,numfreq)

image thumbnail

updated 5 months ago

Payment Calculator by Stacey Gage

Stacey Gage (view profile)

Example loan payment calculator using Swing and MATLAB. (external interface, java, financial)

payment_calc

image thumbnail

updated 6 months ago

Automated Trading with MATLAB - 2012 by Stuart Kozola

Stuart Kozola (view profile)

Files from the Automated Trading webinar showing X_Trader and QuickFIX/J integration. (x_trader, algorithmic trading, genetic programming)

Algorithmic Trading with MATLAB: Intraday trading

Algorithmic Trading with MATLAB: Moving Average Rule

Algorithmic Trading with MATLAB: Pairs trading

image thumbnail

updated 6 months ago

Data based modeling of nonlinear dynamic systems using System Identification Toolbox by Rajiv Singh

Perspectives on nonlinear identification using a throttle valve modeling example. (toolbox, system identification, narmax)

throttleODE(t, x, F, c, k, K, b, varargin)

throttledemo.m

dataprep.m

image thumbnail

updated 7 months ago

Natural Gas Storage Valuation by Ameya Deoras

Ameya Deoras (view profile)

Demos and files from the webinar (energy trading, energy risk, commodities)

Import Analyze Natural Gas Futures Options Historical P...

Natural Gas Storage Valuation: 2. Intrinsic Spread-Optio...

Natural Gas Storage Valuation: 3. Model Calibration and V...

image thumbnail

updated 10 months ago

TSK Forecasting by Dmitrii Levin

A fuzzy neural network for forecasting time series (fuzzy logic, neural networks, time series)

image thumbnail

updated 10 months ago

MULTIVARIATE GARCH BASED ON PCA by Tal Shir

Tal Shir (view profile)

Generage Convariance mairix using PCA-GARCH model (garch, multivariate garch, correlation)

[Cov Corr PCov PCorr PRt Model PRterr NumFac COEFF,SCORE,...

image thumbnail

updated 10 months ago

Li's Copula model for CDS and CDO default intensities and loss function by Francesco Da Vinci

Copula functions for credit loss distribution and default intensities of CDS (cds, cdo, loss distribution)

LiG=LiGaussian(Not, Rho, RR, Times,h, numbofsimulations)

LiGSeller=LiGSeller(Rho, RR, Times,h, numbofsimulations)

LiStudent(Not, Rho, RR, Times,h, numbofsimulations,df)

image thumbnail

updated 1 year ago

MATLAB for R Users in Computational Finance by Ameya Deoras

Ameya Deoras (view profile)

Learn how to use MATLAB and R together to tackle your computational needs (r, rstudio, time series)

Backtest Moving Average RSI Combo Strategy

Optimizing Market Risk using Copula Simulation

blsapp()

image thumbnail

updated 1 year ago

CVaR Portfolio Optimization by Seth DeLand

Seth DeLand (view profile)

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object (portfolio optimizatio..., cvar, conditional value at ...)

CVaRPortfolioOptimizationExample.m

image thumbnail

updated 1 year ago

Algorithmic Trading | Moving Average Crossover Strategy with WFAToolbox by WFAToolbox

The classical technical analysis strategy for an advanced algorithmic trading GUI - WFAToolbox (finance, gui, trading)

MAcross_strategy(x,price)

image thumbnail

updated 1 year ago

Algorithmic Trading with Bloomberg EMSX and MATLAB by Nicole Wilson

Files used in the webinar which can be viewed at http://www.optinum.co.za/webinars/contact_main.php (finance, demo, webinar)

Algorithmic Trading with MATLAB and Bloomberg EMSX: Onlin...

Algorithmic Trading with MATLAB: Intraday trading

Bloomberg EMSX API: Simple Examples

image thumbnail

updated 1 year ago

Commodities Trading with MATLAB by Anshuman Mishra

Demos from the 'Commodities Trading with MATLAB' webinar - July 25, 2013. (algorithmic trading, automated trading, trading)

Commodities Trading with MATLAB - Backtesting with varyin...

Commodities Trading with MATLAB - Catch-up strategy acros...

Commodities Trading with MATLAB - Cross Sectional Momentum

image thumbnail

updated almost 2 years ago

Monte Carlo Simulation for Portfolio Assets by Wilson Amoretty Palmeiro

Simulate sample path allow us to see the pattern that assets price will face. Crucial to hedge risk. (monte carlo simulatio..., finance, statistics)

PortfolioMontecarlo.m

image thumbnail

updated almost 2 years ago

Yahoo Finance Time Series Analysis Tool by Christian Pass

Performs various time series analysis operations (data export, finance, gui)

image thumbnail

updated almost 2 years ago

Building and Extending Portfolio Optimization Models with MATLAB by sri

sri (view profile)

Object-oriented implementations of the Portfo and the Black-Litterman approach (portfolio optimizatio..., finance, object oriented progr...)

View(varargin)

compareWeights( ExcessHistoricalReturns, ExcessImpliedRet...

PortfolioBL

image thumbnail

updated almost 2 years ago

Trinomial tree seaption pricing by Francesco Paolo Esposito

Swaption pricing function under the Hull-White lattice model. It allows finer grid. (finance)

trintree_swaption_plus_HW(U, Curve, opt_type, model, a, d...

image thumbnail

updated almost 2 years ago

Black1976 swaption pricing for a bespoke deal by Francesco Paolo Esposito

This function prices a swaption portfolio with any cash-low structure (finance)

swaptionbyblk_bank( U, V, Curve )

image thumbnail

updated almost 2 years ago

trinomial tree plot by Francesco Paolo Esposito

This function plots the Hull-White tree structure (finance)

trintree_plot( BKTree )

image thumbnail

updated almost 2 years ago

Trinomial tree calibration by Francesco Paolo Esposito

This function calibrates the Hull-White trinomial tree. (finance)

trintree_calswaption( Curve, V, Period, coin )

image thumbnail

updated almost 2 years ago

volatility to premium for swaptions (Black76 model) by Francesco Paolo Esposito

This function convert ATM volatility surface into swaption premiums and par rates. (finance)

vol2par_swaption( curve, V, period )

image thumbnail

updated almost 2 years ago

Trinomial tree swaption pricing by Francesco Paolo Esposito

This function generates swaption prices under the Hull-White trinomial tree model. (finance)

trintree_swaption_HW(U, Curve, opt_type, model, a)

image thumbnail

updated 2 years ago

Technical Analysis Tool by Phil Goddard

Phil Goddard (view profile)

GUI for viewing various simple technical analysis indicators of a time series (finance, modeling, analysis)

Technical Analysis Tool

axislocations_set(obj)

axislocations_store(obj)

image thumbnail

updated 2 years ago

Price call and put options using Constant Elasticy of Variance model by Hanan Kavitz

Hanan Kavitz (view profile)

An alternative to using Black and Scholes model is using Constant Elasticity of Variance model. (financial models, black and shcoules, constant elasticity m...)

[call,put]=constantElasticity(S,K,r,T,sigma,q,alpha)

image thumbnail

updated 2 years ago

Black and Shcoles calculator by Hanan Kavitz

Hanan Kavitz (view profile)

Graphical Black and Shcoles calculator for visualizing different sensetives (bls, black and shcoles, gui)

blscalculator(varargin)

image thumbnail

updated 2 years ago

Mining Economics with MATLAB by David Willingham

Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices (commodities, mining, economics)

FitNPV(NPV)

cashflow(data,NTrials,SYear)

discounting(data,capex,NTrials,sales,discFactorY,salesb)

image thumbnail

updated 2 years ago

Analyzing Investment Strategies with CVaR Portfolio Optimization by Bob Taylor

Bob Taylor (view profile)

Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. (finance, portfolio, optimization)

covered_engine(X, T, mu, sigma, ...

gbm_calibration(t0, X, t)

gbm_call_price(X0, K, r0, T, sigma)

image thumbnail

updated 2 years ago

Statistical Backtest Toolbox by Benjamin Heelan

A Toolbox that allows the user to backtest trading strategies on the FTSE100. (finance, backtesting, ftse)

...

Buy_only_trade_execution_algo(x,D,Buy_Signal,Sell_Signal)

Trade_Plots(C,D,n,P_n_L)

image thumbnail

updated 2 years ago

Matrix Decomposition by Aleksander

Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex (cholesky, decomposition, correlation matrix)

SpectralDP(Correlation)

image thumbnail

updated 2 years ago

mergecellkey: Merge cell by key by Renwen Lin

mergecellkey: Merge cell by key (data import, merge, cell)

mergecellkey(A, B, keys)

mergecellskey(varargin)

showcell(varargin)

image thumbnail

updated 2 years ago

Treynor-Black portfolio management model by Ben

Ben (view profile)

Treynor-Black portfolio management model (portfolio management, optimization, active)

[pct_w_pos_opti beta_pos_opti pct_w_active measures_port ...

image thumbnail

updated 2 years ago

SCOPE: interactively tabulate SEER excel variables by Rex Cheung

This takes SEER excel column data interactively, tabulate them, write back in table format. (data import, data export, optimization)

output=xls2tabulate2xls(xlsfilename)

image thumbnail

updated almost 3 years ago

THRESHOLD REGRESSION PROGRAMME by jinchun

jinchun (view profile)

this programme could be used to analysis the threshold effects form panel data (finance)

THRESH_P.m

image thumbnail

updated almost 3 years ago

Output set of stock prices from yahoo finance as a matrix with header and dates into excel by Haidar Haidar

Output historical stock prices for a basket of stocks and given period as a matrix with header (financial mathematics, download stocks, yahoo finance)

[B,C,name2]=M_Tri_EXL(Start_Date,End_Date,ty)

image thumbnail

updated 3 years ago

Credit Risk Modeling with MATLAB by Ameya Deoras

Ameya Deoras (view profile)

These are the supporting MATLAB files for the MathWorks webinar of the same name. (credit risk, transition matrices, var)

...

Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

image thumbnail

updated 3 years ago

Improving MATLAB® performance when solving financial optimization problems by Jorge Paloschi

Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011, http://www.wilmott.com/magazine.cfm (optimization, finance, symbolic)

OptimizationWithSymbolicToolboxDemo()

vectorize(s)

image thumbnail

updated 3 years ago

Approaches to implementing Monte Carlo methods in MATLAB by sri

sri (view profile)

Code for the article in the September 2011 article http://www.wilmott.com/magazine.cfm (wilmott, monte carlo, parallel computing)

PriceArithmeticAsianOption(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionFin(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionPCT(S0,X,r,T,sigma,NSteps,NPaths)

image thumbnail

updated almost 4 years ago

Amortization schedule with variable interest rates by Guido Travaglini

Computes & optionally saves & plots some variables, like interest paid and balance outstanding. (financial tb, amortization schedule, interest rates)

amorvar(K0,Rates,Prop,Plop,Freq,Comp)

image thumbnail

updated almost 4 years ago

Using MATLAB to Optimize Portfolios with Financial Toolbox by Bob Taylor

Bob Taylor (view profile)

Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. (portfolio, optimization, finance)

part1_plot(varargin)

PortfolioDemo

part1_intro.m

image thumbnail

updated 4 years ago

Portfolio Optimizer Tool by Patric Schenk

Patric Schenk (view profile)

Portfolio Optimizer Tool (data import, finance, gui)

portfoliotool(varargin)

ExcelReport

Portfolio

image thumbnail

updated 4 years ago

Algorithmic Trading with MATLAB - 2010 by Stuart Kozola

Stuart Kozola (view profile)

Files from the November 18, 2010 webinar. (algorithmic trading, trading, moving average)

Algorithmic Trading with MATLAB®: Evolutionary Learning

Algorithmic Trading with MATLAB®: More Signals

Algorithmic Trading with MATLAB®: Moving Average and RSI

image thumbnail

updated 4 years ago

Display Stock Data by Peter Webb

Peter Webb (view profile)

Internet enabled data analysis and visualization. (data import, data export, news)

DisplayStockData(symbol, startdate, frequency, periods)

GetStockData(symbol, startdate, frequency, periods)

daxis(aksis,dateform,startdate)

image thumbnail

updated 4 years ago

Efficient Frontier GUI by Ameya Deoras

Ameya Deoras (view profile)

Efficient frontier from Yahoo or database data. (finance, modeling, analysis)

dfdb_port_opt(varargin)

cleanMe.m

image thumbnail

updated 4 years ago

Financial Seminar Demos by Ameya Deoras

Ameya Deoras (view profile)

Demos commonly used at The MathWorks financial modeling seminars. (finance, modeling, analysis)

PortVaRmc(nsim)

blsimpv(so,x,r,t,call,maxiter,q,tol)

blsvis(varargin)

image thumbnail

updated 4 years ago

Black-Scholes Option Value Web Application - Java/Tomcat by Sachin Nikumbh

This example code demonstrates how to access Java components generated by MATLAB Builder for Java fr (finance, modeling, analysis)

optionvalue(SpotPrice, StrikePrice, RiskFreeRate,TimeExpi...

webvizroutine(SpotPrice, StrikePrice, RiskFreeRate,TimeEx...

mcc_command.m

image thumbnail

updated 4 years ago

Pricing Derivatives Securities using MATLAB by Mayeda Reyes-Kattar

Examples of pricing derivatives securities using MATLAB (finance, modeling, analysis)

optionvanilla(S,E,r,T,sigma,divYield,nSims,nSteps,type, s...

portbrowser(varargin)

treedemonew(Command, Trees,Port,RS)

image thumbnail

updated almost 5 years ago

FinMetrics by Vitaly Kuznetsov

Open source/open architecture quantitative portfolio management environment. (finance, investments, portfolio management)

fm(varargin)

Asset

AssetUniverse

Contact us