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updated 16 hours ago

Quandl API Access by Ray

Ray (view profile)

Access and download data from the Quandl database from inside the MATLAB console. (data import, finance, statistics)

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updated 6 days ago

okomarov/importFrenchData by Oleg Komarov

Oleg Komarov (view profile)

Download data from Kenneth French Data Library, e.g. Fama and French factors (data, import, fama)

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updated 9 days ago

Automated Trading System Development with MATLAB by Stuart Kozola

Stuart Kozola (view profile)

How to Build an Event-based Automated Trading System in MATLAB (automated trading, algorithmic trading, finance)

Automated Trading System Development with MATLAB®

Create a Simple Data Feed Replay Object

Example Bayesian Market Maker

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updated 16 days ago

Nonstationary Extreme Value Analysis (NEVA) Toolbox by HRL

HRL (view profile)

Nonstationary Extreme Value Analysis (NEVA) (statistics, climate, extreme value analysi...)

GEVQQcheck(DATA,nsite,Now)

GPQQcheck(DATA,nsite)

Mann_Kendall(V,alpha)

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updated 18 days ago

MATLAB Derivatives Pricing by Matt McDonnell

Derivatives pricing based on 'C++ Design Patterns and Derivatives Pricing' by Mark Joshi. (oop, chebfun, finance)

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updated 18 days ago

Plotly | Online MATLAB Graphing by Chris

Chris (view profile)

Publish your MATLAB figures to the web with one line of code. (plot, data export, gui)

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updated 18 days ago

IB4m by Abel Brown

Create ScannerSubscriptions, access real-time MarketData, place orders, and more (finance, ib, java)

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updated 25 days ago

getGoogleOptionsData(symbolid) by C Lau

C Lau (view profile)

Code to download option chain data from Google finance. (google, option chain, stock)

getGoogleOptionsData(symbolid)

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updated 1 month ago

Market Data - Equity by Mario Santos

Gets equity prices and dividends from yahoo finance directly to Excel (finance, data import)

DataFeed.m

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updated 1 month ago

Ulcer Index and Performance Index by Matthaeus

Ulcer Index and Ulcer Performance Index (Martin Ratio) (finance, technical indicator)

I_Ulcer_Index(Price_Series, Lag, Min_Return_Threshold)

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updated 1 month ago

Obtain All Tickers Traded on BATS Exchange by Matthaeus

Obtain structured data for all stock and fund tickers from the BATS website (finance)

Java_Date2datenum(Cal)

Scrape_Tickers_BATS(Ref_Date)

Timezone_Convert(Input_Date, From_Timezone, To_Timezone)

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updated 1 month ago

Valuing American Put Options by Simulation: Early Exercise Boundary Approach by Nattapong Kongmuang

Valuing American Put Options by Simulation: Early Exercise Boundary Approach (simulation, finance, americanoption)

AmericanPut_ControlVariate( aPut_sim,ePut_sim,ePut_BS )

BS_Put( s0,k,r,q,vol,T )

Boundary( k,r,q,vol,T,steps )

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updated 1 month ago

Triple Exponential Moving Average (TEMA) Indicator by Matthaeus

Patrick Mulloy's Triple-smoothed Exponential Moving Average Technical Indicator (finance, technical indicator)

I_TEMA(Price_Series, Lag)

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updated 1 month ago

Nearest $VIX Expiry Date by Matthaeus

Provide the Next $VIX Expiry Date, Given a Single Calendar Date (finance, calendar)

Nearest_Busdate(Query_Date, Dir_Flag)

Nearest_VIX(Query_Date)

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updated 1 month ago

Calculate Autocorrelation Function by sheng liu

Compute autocorrelation function (statistics, probability, finance)

autocorr(A)

autocorr_circular(A)

autocorr_fft(A)

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updated 1 month ago

Heikin Ashi Candlesticks by Matthaeus

Convert Intraday OHLC Values to Heikin Ashi OHLC Values (finance)

I_Heikin_Ashi(OHLC_Series)

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updated 1 month ago

Algorithmic Trading | Walk-Forward Analysis Toolbox - WFAToolbox by WFAToolbox Team

MATLAB® App for Advanced Algorithmic Trading Strategies Development in Minutes, not Months. (algo, algorithmic trading, analysis)

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updated 1 month ago

Black Scholes - Lookback Options by Jellen Vermeir

Lookback Options - Pricing, Greeks & Implied Volatility Calibration (Black-Scholes) (finance, mathematics)

blsLookback(sigma,St,M,T,r,q,type,returnGreeks)

blsLookbackDelta(sigma,St,M,T,r,q,type)

blsLookbackGamma(sigma,St,M,T,r,q,type)

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updated 1 month ago

Black Scholes - Barrier Options by Jellen Vermeir

Barrier Options - Pricing, Greeks & Implied Volatility Calibration (Black-Scholes) (finance, mathematics)

blsBarrier(sigma,St,K,B,R,T,r,q,type)

blsBarrierDelta(sigma,St,K,B,R,T,r,q,type)

blsBarrierGamma(sigma,St,K,B,R,T,r,q,type)

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updated 1 month ago

Trinomial tree swaption 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...

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updated 1 month ago

rolling window forecast by raffaele

raffaele (view profile)

choose the best forecast of an AR(p) model, by comparing all AR(p) forecast with realized values (econometrics, statistics, finance)

rwfcast(ts,h,lengthw)

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updated 1 month ago

simple forecast with AR model by raffaele

raffaele (view profile)

forecast with iterative or direct methods, a general AR(p) model, choosing the best p with AIC algo (econometrics, statistics, regression)

fcast.m

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updated 1 month ago

De-trending variables algorithm by raffaele

raffaele (view profile)

function that make all time series stationary, and return number of differencing for each one (statistics, econometrics, finance)

detrend.m

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updated 2 months ago

blsBarrier(sigma,St,K,B,R,T,r,q,type) by Jellen Vermeir

Pricing of Barrier Options under Black-Scholes (Closed Form Solution) (finance, mathematics)

blsBarrier(sigma,St,K,B,R,T,r,q,type)

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updated 2 months ago

blsLookback(sigma,St,M,T,r,q,type) by Jellen Vermeir

Pricing of Lookback Options under Black-Scholes (Closed Form Solution) (finance, mathematics)

blsLookback(sigma,St,M,T,r,q,type)

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updated 4 months ago

Normal Inverse Gaussian Distribution by Ilnaz

Ilnaz (view profile)

includes, nigpdf, nigcdf and nig inverse cdf (statistics, probability, finance)

InvNig(y,pars,dx,n,tol )

NIGcdf(x,alpha,beta,mu,delta,Phi0 )

invNIGinitial(y,Xmin,Xmax,tol,pars,dx,Phi0)

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updated 4 months ago

Functions for Predicting Business Bankruptcy by Tyler Coye

This submission contains three .m files with functions that calculate the different z scores. (z score, business, finance)

ZScoreGen(WC,TA,RE,EBIT,TL,NW)

ZScorePub(WC,TA,RE,EBIT,MktValEq,TL,S)

ZScorePvt(WC,TA,RE,EBIT,TL,NW,S)

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updated 4 months 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)

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updated 4 months ago

Fast Matrixwise Black-Scholes Implied Volatility by Mark Whirdy

Calculates Black-Scholes Implied Volatility for Full Surface at High Speed (blackscholes, impliedvolatility, impvol)

calcBSImpVol(cp,P,S,K,T,r,q)

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updated 5 months ago

Parallel Computing with MATLAB demo files (MATLABプログラムの並列・分散処理) by mizuki

mizuki (view profile)

files for the webinar, "Parallel Computing with MATLAB" in Japanese (simulation, optimization, demo)

lorentzModel.m

box_jenkins(Parameters, y, R, M)

nonLinConFunc(Parameters, y, R, M)

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updated 5 months ago

tradesman by Volkan Kirdar

Btc-e, Bitfinex, Cex.io, Huobi, Bitstamp exchange api for Matlab. (finance)

main_api_call_cexio.m

crypto(str, key, algorithm)

http_createHeader(name,value)

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updated 5 months ago

Get Yahoo Option Chain by petar radkov

petar radkov (view profile)

Scraping options chain prices from finance yahooo (option, option chain, option price)

GetYahooOptionChain( ticker, ExpDate, typeOutData )

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updated 5 months ago

Financier by Raza88

Raza88 (view profile)

Financial portfolio management (finance, portfolio, optimization)

FINANCIER.m

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updated 6 months ago

Calculate Complex Hurst by steed huang

This Matlab example M-file is to calculate the Complex Hurst for Data like Stock Market. (mathematics, statistics, example)

complexHurstV1.m

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updated 7 months ago

CallDeltahedge( S,K,r,T,vol,n ) by Dimosthenis Karaflos

This functon calculates the final P&L from a delta hedging strategy of a short call option!! (finance, derivatives, simulation)

CallDeltahedge( S,K,r,T,vol,n )

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updated 7 months ago

VaR( stock, sigma) by Christina Kotioni

This is a simple function that calculates the VaR using the Geometric Brownian Motion (statistics, simulation, finance)

VaR( stock, sigma)

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updated 7 months ago

Rotman Trader Toolbox by Stuart Kozola

Stuart Kozola (view profile)

Rotman Trader Toolbox provides functionality for connecting MATLAB(R) to Rotman Interactive Trader (trading, rotman, finance)

MATLAB File Help: RTDConnector

MATLAB File Help: rotmanTrader

Rotman Trader Toolbox

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updated 7 months ago

FQuantToolBox V1.3[NoHistData] byLY_faruto by faruto

faruto (view profile)

FQuantToolBox: A Data and Backtesting Quant Tool Box based on MATLAB by faruto. (quant, stock, trade)

GetIndexList_Web.m

GetIndexTSDay_Web.m

GetStockList_Web.m

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updated 8 months ago

Date Vector/Number to ISO 8601 Date String by Stephen Cobeldick

Convert a Date Vector/Number to an ISO 8601 Date String. Tokens control the date/time notation. (date, timestamp, iso 8601)

datestr8601(DVN,varargin)

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updated 8 months ago

ISO 8601 Date String to Serial Date Number by Stephen Cobeldick

Convert an ISO 8601 Date String to Serial Date Numbers. Auto-detect or select the timestamp style. (calendar date, date, iso 8601)

datenum8601(Str,Tok)

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updated 9 months ago

Stock Class by Jeffrey Kantor

Jeffrey Kantor (view profile)

An easy to use class to download, display, and plot stock information from Yahoo finance. (quotes, stocks, finance)

stock

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updated 9 months ago

LogNormalBetaStochasticVolatility by ML Sepp

ML Sepp (view profile)

Compute option prices under log-normal beta stochastic volatility model and compare vs Monte Carlo (lognormal stochastic ..., option pricing, finance)

LogNormalBetaStochasticVolatility

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updated 9 months ago

International daily stock return data for System Identification by Mattia Zorzi

International daily stock return data for System Identification (data, finance, system identification)

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updated 9 months ago

WindTrader by Steven

Steven (view profile)

WindTrader 程序化交易终端是基于Wind资讯®发布的MATLAB数据及交易接口,用于量化投资活动中账户和策略的建立及管理、模拟和真实交易的监视及控制的程序化交易终端应用。 (gui, java, finance)

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updated 10 months ago

Historical Stock Data downloader by Josiah Renfree

Used to retrieve historical stock data for a user-specified date range (finance, analysis, quote prices)

hist_stock_data(start_date, end_date, varargin)

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updated 10 months ago

Monte Carlo simulation example using MATLAB (with comments) by Raza88

Raza88 (view profile)

A simple Monte Carlo simulation example with detailed comments (simulation, random, monte carlo)

MonteCarlo_CNTower.m

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updated 11 months ago

Option on zero-coupon bond via Levy HJM model by Mesias Alfeus

Levy Term structure, GH as a driver, Option on zero-bond values, Quadratic hedge ratio. (mathematics, finance, simulation)

GH_Quadratic(PU,PT,U,T,K,sig,k,lambda,alpha,beta,delta,mu...

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updated 11 months ago

Monte Carlo example of a Multi Commodity Spot and Forward curves Simulator by Ahmos Sansom

Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets (finance, mathematics, optimization)

CalibrateSpotModel.m

CalibrateFCModel(historicalForwardCurves, nFactors)

LnTestofSims(mySims, LastFC, volFN, Factors)

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updated 11 months ago

fred2read by Peter Gruber

Load macroeconomic data from the FRED2 server of the federal reserve bank of St. Louis. (data import, economics, finance)

fred2read(ticker,startDate,endDate)

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updated 1 year ago

Ornstein Uhlenbeck Simulations and Descretisation error by Ahmos Sansom

Ornstein Uhlenbeck simulations based on simple discretisation and compared to Gillespie solution (finance, simulation, mathematics)

OrnsteinUhlenbeck(nDays, nSims, Seed, mu, s0, vol, theta)

OrnsteinUhlenbeckGillespie(nDays, nSims, Seed, mu, s0, vo...

OrnsteinUhlenbeckReducedTimeStep(nDays, nSims, Seed, mu, ...

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