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| Date | File | Tags |
Downloads (last 30 days) |
Comments | Ratings | |
| 07 Nov 2009 |
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Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. | 481 | 15 | ||
| 07 Nov 2009 |
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Heston Option Pricer Compute European call option price using the Heston model and a conditional Monte-Carlo method | 53 | 0 | ||
| 27 Oct 2009 |
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MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab | 469 | 22 | ||
| 20 Oct 2009 | Granger Causality Test Conducts a Granger Causality test using the Bayesian Information Criterion to select lag length | 142 | 1 | |||
| 16 Oct 2009 |
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Pre-Flop Texas Hold’em Poker Tables Prints html tables of pre-flop winning chance and odds for Texas holdem Poker | 181 | 0 | ||
| 07 Oct 2009 | Get Stock Symbols This function gets the list of symbols for stocks from indices and/or sectors. | 53 | 0 | |||
| 30 Sep 2009 | Google Finance Historical Stock Data Downloader gathers historical stock information from Google Finance. | 147 | 0 | |||
| 25 Sep 2009 |
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Rescaled Range Analysis My implementation of the Hurst`s Rescaled Range Analysis. Test file included. | 39 | 0 | ||
| 23 Sep 2009 |
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Candlestick Quantification Function to quantify candlesticks. | 44 | 0 | ||
| 23 Sep 2009 |
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POKER PREDICTOR A Texas Holdem Poker Probability and Odds calculator. Fast, accurate and free. | 237 | 2 | ||
| 23 Sep 2009 |
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3D TRIANGULATED MODELS COLLECTION A collection of 3d manifolds models with 3D points, triangles, outwards normals orientation. | 186 | 0 | ||
| 25 Aug 2009 |
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FAST K-NEAREST NEIGHBOURS SEARCH 3D VERSION The 3d version of GLTREE | 224 | 6 | ||
| 19 Aug 2009 |
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SURFACE RECOSTRUCTION FROM SCATTERED POINTS CLOUD PART3 The BallFretting algorithm designed for filled points cloud. | 195 | 0 | ||
| 17 Aug 2009 |
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Cheque Number Reader The program will read the scanned image of the bank cheque and read the cheque number | 54 | 0 | ||
| 14 Aug 2009 |
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INPOLYHEDRON TEST Fast InPolyedron Test to detects points inside manifold surface (even non convex ones). | 143 | 0 | ||
| 12 Aug 2009 | Exercises in Advanced Risk and Portfolio Management text and comments on solutions available at http://ssrn.com/abstract=1447443 | 263 | 0 | |||
| 29 Jul 2009 |
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Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation | 233 | 0 | ||
| 28 Jul 2009 | Statistical Analysis OF IDFC Mutual Funds. The above report use minitab software to analyze mutual fund using Six Sigma technique. | 24 | 0 | |||
| 27 Jul 2009 |
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Expectation-Maximization algorithm for bi-variate Normal Inverse Gaussian distribution Expectation-Maximization (EM) algorithm for bi-variate Normal Inverse Gaussian (biNIG) distribution | 76 | 0 | ||
| 21 Jul 2009 | Historical Volatility Calculates the annualized historical volatility for a stock over the previous N trading days. | 86 | 0 | |||
| 01 Jul 2009 |
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Mortgage Amortization Calculates the monthly payment and amortization schedule for a fixed-rate mortgage. | 117 | 0 | ||
| 11 Jun 2009 |
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Simulations with Exact Means and Covariances Exact multivariate normal simulation | 185 | 0 | ||
| 04 Jun 2009 | Log-Uniform Jump-Diffusion Model European call option price and implied volatility for a Log-Uniform Jump-Diffusion model. | 72 | 3 | |||
| 02 Jun 2009 | moneysplit Divide a sum of money in a certain ratio, making sure that the amounts add up exactly to the total. | 13 | 0 | |||
| 01 Jun 2009 |
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Algorithmic Trading with MATLAB - 2009 update M-file scripts and Simulink models from webinar on 28 May 2009 | 196 | 7 | ||
| 28 May 2009 | Maximum Cardinality matching constructs a (non-weighted) maximum cardinality matching | 38 | 2 | |||
| 26 May 2009 | Portfolio Optimisation using MATLAB Builder for Java This demo uses the Java Swing libraries and MATLAB Builder for Java to create a Portfolio Optimisati | 63 | 3 | |||
| 22 May 2009 |
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Estimation and Simulation of ACD models in MatLab Functions and Scripts for Simulation and Estimation of ACD models | 128 | 2 | ||
| 20 May 2009 |
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PortVaR VaR for portfolio stocks | 64 | 3 | ||
| 17 May 2009 | BASIC version of retrieving quote from google finance The function obtains quote from google finance into command line variable | 149 | 6 | |||
| 10 May 2009 |
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Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. | 197 | 3 | ||
| 17 Apr 2009 | Foreign Exchange Options Valuation of European and American options on foreign exchange using Garman-Kohlhagen model | 46 | 0 | |||
| 10 Apr 2009 |
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Risk and Asset Allocation Software for quantitative portfolio and risk management | 378 | 13 | ||
| 10 Apr 2009 |
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Estimation of Structured t-Copulas Simple recursive routine to estimate by maximum likelihood the correlation matrix and the degrees of | 167 | 0 | ||
| 10 Apr 2009 |
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Entropy Pooling: Fully Flexible Views and Stress-testing Full generalization of Black-Litterman and related techniques | 178 | 1 | ||
| 10 Apr 2009 |
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Review of Discrete and Continuous Processes in Finance discrete-time and continuous-time processes for finance, theory and fitted examples | 137 | 0 | ||
| 06 Apr 2009 | Constant Volume Bars Constant Volume Bars | 8 | 1 | |||
| 03 Apr 2009 |
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DFP quasi Newton method It solves an optimization problem by DFP quasi Newton method. | 114 | 1 | ||
| 03 Apr 2009 | Steepest descent method It solves an optimization problem by steepest descent method. | 130 | 2 | |||
| 31 Mar 2009 |
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Volatility Surface Compute and Plot Volatility Surfaces from Market Prices | 100 | 5 | ||
| 30 Mar 2009 |
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Bar- and candle style graph for stocks Plots a bar graph of stock OHLC values, o | 58 | 1 | ||
| 13 Mar 2009 | CDS pricer This short routine calculates the mark-to-market price of a credit default swap. | 98 | 0 | |||
| 13 Mar 2009 | convexchecker It checks real valued multidimensional function, whether it is convex. | 46 | 2 | |||
| 09 Mar 2009 | Cornish-Fisher VaR Returns the Cornish-Fisher Expansion Valut at Risk. (Up to 4th moment) | 31 | 0 | |||
| 04 Mar 2009 | setdiff Set difference of two sets of positive integers (much faster than built-in setdiff) | 23 | 1 | |||
| 16 Feb 2009 | eomdateAN Allow for negative and bigger than 12 month number with eomdate.m function | 11 | 0 | |||
| 13 Jan 2009 | Developing a Financial Market Index Tracker using MATLAB OOP and Genetic Algorithms Files used in the webinar of the same name | 59 | 2 | |||
| 17 Dec 2008 |
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DotNet Web Example Guide End To End Chapter Source files for the DotNet Web Example Guide End To End Chapter | 22 | 1 | ||
| 17 Dec 2008 |
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Java Web Example Guide End To End Chapter This is the source files for the example discussed in the Java Web Example Guide End To End Chapter | 38 | 1 | ||
| 11 Dec 2008 | regression and forecasting Matlab regression and forecasting tool | 47 | 1 | |||
| 10 Dec 2008 |
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Plot Some Paths This application allows you to generate and visualize some random paths | 49 | 4 | ||
| 09 Dec 2008 | Zero Sum Game Solves a zero sum matrix game. | 38 | 0 | |||
| 09 Dec 2008 |
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3D Plot for Greeks Plot in 3 dimensions the Greeks under the Black-Scholes model for a European call | 38 | 0 | ||
| 09 Dec 2008 | Bimatrix Game The bimat.m solves a bimatrix game represented by two matrices M and N . | 53 | 1 | |||
| 07 Nov 2008 |
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RST controller RST polynomial controller implementation also suited for real-time. | 24 | 0 | ||
| 06 Oct 2008 | Simple option pricing GUI A GUI that presents the results of a Black-Scholes and a Monte Carlo European option pricer | 29 | 0 | |||
| 19 Sep 2008 | Finding a similar valid correlation matrix The function transforms a suggested matrix to a valid correlation matrix | 41 | 1 | |||
| 10 Sep 2008 | Real-Time Datafeed from Yahoo! Extension of Datafeed Toolbox's Yahoo object, allowing real-time data to be fetched | 85 | 1 | |||
| 09 Sep 2008 |
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Estimation and Simulation of State Space (Kalman Filter) Models with Matlab Functions and Scripts for Simulation and Estimation of State Space models | 204 | 3 | ||
| 28 Aug 2008 | Pricing Basket Option Functions for pricing of a basket option | 58 | 0 | |||
| 26 Aug 2008 |
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CVaR optimization The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR | 88 | 3 | ||
| 17 Jul 2008 | MATLAB Builder NE Hot Deploy Components This application dynamically loads new generated components and automatically executes methods using | 11 | 0 | |||
| 16 Jun 2008 |
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A simple CPPI strategy in MATLAB Backtesting of a CPPI strategy | 38 | 1 | ||
| 09 Jun 2008 |
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Monte Carlo simulations using MATLAB Demonstrations of Monte Carlo simulations in MATLAB | 450 | 7 | ||
| 04 Jun 2008 |
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Asian Option - Pricing using Monte Carlo Control Variate Method Price asian option using Monte carlo control Variate | 80 | 2 | ||
| 16 Apr 2008 | RSI calculator Calculate the RSI for a stock over any time range for any given period | 72 | 3 | |||
| 08 Apr 2008 | An Example of Markov Chain and multinominal option pricing One sample of the pricing of double barriers knock-in binary put option by using multinominal, Marko | 52 | 0 | |||
| 11 Mar 2008 | Using quadrature method to price a European call option Pricing a European Call Option based on AWDN (2003) - Journal of Financial Economics | 21 | 1 | |||
| 10 Mar 2008 |
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Short Term Hedge Position Optimizer This program optimizes the hedge ratio for a resource company | 21 | 0 | ||
| 20 Feb 2008 |
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Algorithmic Trading with Matlab files from webinar | 255 | 18 | ||
| 20 Feb 2008 |
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A baby trading system (No, we don't trade babies!) | 148 | 0 | ||
| 18 Feb 2008 | Mortgage A small tool for mortgage calculation | 144 | 6 | |||
| 18 Feb 2008 | EMI calculator for fix rate this program calculate EMI for loan | 15 | 1 | |||
| 18 Feb 2008 |
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Are You More Skilled than a Monkey at Trading Stocks ? Verifies if a particular performance indicator (eg. annualized return) can be just a case of chance. | 120 | 1 | ||
| 29 Jan 2008 |
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Visualize dynamic hedging (via an interactive GUI) | 125 | 2 | ||
| 29 Jan 2008 | Historical Stock Data downloader Used to retrieve historical stock data for a user-specified date range | 125 | 24 | |||
| 01 Jan 2008 |
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Evaluate Nelson-Siegel function (or fit one to a yield curve) | 172 | 3 | ||
| 28 Dec 2007 | MathWorks Webinar: Using Genetic Algorithms in Financial Applications Presentation and M-Files for MathWorks Webinar | 70 | 3 | |||
| 26 Dec 2007 |
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Devise a bond maturity strategy (via an interactive GUI) | 113 | 0 | ||
| 04 Dec 2007 |
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Wagner-Whitin Algorithm Wagner-Whitin Algorithm | 144 | 1 | ||
| 05 Nov 2007 |
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Visualize payoffs of an option strategy (via an interactive GUI) | 124 | 0 | ||
| 17 Oct 2007 |
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Simulate a Cox-Ingersoll-Ross process (Exact algorithm) | 177 | 1 | ||
| 17 Oct 2007 |
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Model a mortgage-backed security (Application of CFEVAL) | 128 | 0 | ||
| 17 Oct 2007 |
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Evaluate debt instrument's cash flows (given their symbolic definition) | 143 | 3 | ||
| 15 Oct 2007 |
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Mean-variance portfolio optimization using GA and PATTERNSEARCH (A not-too-serious experiment / code sample) | 201 | 2 | ||
| 24 Sep 2007 |
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Compute PSA-benchmarked prepayment metrics (CPR and SMM) | 101 | 0 | ||
| 21 Sep 2007 |
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Nearest Neighbour Algorithm for Stock Prices Forecasts. Creates a vector with forecasted values of a time series based on the nearest neighbour algorithm. | 157 | 3 | ||
| 20 Sep 2007 |
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Pricing American Options Examples of pricing American options using MATLAB® | 72 | 1 | ||
| 22 Aug 2007 | Store Excel named range in MATLAB This function retrieve a "Named Range" from an Excel workbook | 19 | 1 | |||
| 02 Aug 2007 | Maximum Drawdown Maximum relative drawdown of time-series data | 44 | 4 | |||
| 23 Jul 2007 | Adjust Per-capita Adjust per capita using historical U.S. population data. | 117 | 0 | |||
| 16 Jul 2007 | Lo's modified rescaled range statistic/Hurst's R/S statistic Computes Lo's (1991) R/S statistic | 36 | 1 | |||
| 16 Jul 2007 | Interest rate model Hull and White interest rate model | 56 | 3 | |||
| 04 Jul 2007 | Inflate Adjust for inflation using the CPI Inflation Calculator at BLS.gov. | 141 | 2 | |||
| 29 May 2007 |
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Energy Bid Stack Viewer Energy Bid Stack Viewer for Australian electricity market | 8 | 3 | ||
| 24 May 2007 |
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Matlab-GUI equity derivative calculator equity derivative calculator using matlab GUI | 44 | 1 | ||
| 04 May 2007 |
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Nilrep's Charting Challenge !! This is Nilrep's Charting Challenge. Are you good at Charting ?? | 108 | 1 | ||
| 03 Apr 2007 |
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Pricing Derivatives Securities using MATLAB Examples of pricing derivatives securities using MATLAB | 108 | 5 | ||
| 19 Mar 2007 |
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Technical Analysis Tool GUI for viewing various simple technical analysis indicators of a time series | 57 | 1 | ||
| 14 Mar 2007 | TA-Lib 0.3.0 as MEX The Technical Analysis library | 15 | 1 | |||
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