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updated 4 days 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

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 7 days 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 11 days 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 19 days 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 24 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 27 days 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 29 days ago

Bond Pricer Applying Kalman Filter by mono

mono (view profile)

Compute the yield curve based on two SDE models applying Kalman Filter (yield curve, zero coupon bond, pricing)

CIR_CompoundRate_Kalman_fmincon(input_data)

CIR_SpotRate_LSM_fmincon(input_data)

CIR_pricing(input_data,flag,r0,tau)

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updated 1 month 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 1 month ago

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

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

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updated 1 month ago

IB4m by Abel Brown

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

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updated 2 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 2 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 2 months ago

Numeric to English Words by Stephen Cobeldick

Convert a numeric scalar to a string giving the English name of the number value (GB/US). (dialect, words, number names)

num2words(num,opts,varargin)

num2words_rat(num,opts,tol)

num2words_bbc.m

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updated 3 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 3 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 3 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 3 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 4 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 4 months ago

Monte Carlo simulation example using MATLAB (with comments) by Reza Rahemi

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

MonteCarlo_CNTower.m

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updated 4 months ago

Financier by Reza Rahemi

Financial portfolio management (finance, portfolio, optimization)

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updated 5 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)

[price, Hedge]=GH_Quadratic(PU,PT,U,T,K,sig,k,lambda,alph...

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updated 5 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 5 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)

[calDate series header]=fred2read(ticker,startDate,endDate)

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updated 6 months 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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updated 7 months ago

Portfolio Diversi…cation Based on Optimized Uncorrelated Factors by Attilio Meucci

Attilio Meucci (view profile)

Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution (portfolio management, risk management, marginal risk contrib...)

EffectiveBets(b, Sigma, t)

torsion(Sigma, model, method, max_niter)

S_MainDiversification.m

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updated 8 months ago

Get stock option chains by ted p teng

ted p teng (view profile)

Get stock option chains. (finance, stock, option chain)

getOptionChainYQL(tickers)

getOptionChainYQLExample.m

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updated 9 months ago

FYP1.m by Imran Hayder

Matlab GUI based waveform generator- generates waveforms like sine, cos, pwm, etc with desired param (waveform, generator, signal processing)

FYP1(varargin)

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updated 10 months ago

cusip2isin.m by Guillaume Nolin

This function converts 9-digit CUSIPs into 12-digit ISIN codes (finance, security identifiers, isin)

cusip2isin(country,cusip)

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updated 11 months ago

Arbitrage-Free Smoothing of the Implied Volatility Surface by Philipp Rindler

Function to smooth call option prices and implied volatilities free of static arbitrage. (implied volatility, option pricing, finance)

Arbitrage-free Smoothing of the Implied Volatility Surface

...

evaluateSpline(u, tau, g, gamma, close, strike, ...

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updated 11 months ago

BTC-e trade api by wout

This BTC-e trade api can be used to automatically trade on btc-e using their api. (btce, sha512, data export)

ActiveOrders(varargin)

CancelOrder(varargin)

GetInfo()

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updated 11 months ago

Rolling Window FIGARCH Forecast by Sarunas Girdenas

This code uses rolling window FIGARCH model estimates to compute forecasts. (figarch, finance, econometricstimeserie...)

figarch_forecast(filename1,filename2)

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updated 1 year ago

Semideviation by Abdulaziz Alhouti

Estimates the downside and upside deviations (finance, investment, statistics)

[LowerSTD UpperSTD]=semistd(x)

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updated 1 year ago

Download Daily Data from Google and Yahoo! Finance by Michael Weidman

Provides functions for getting data from both data sources as well as helper utility functions (finance, google finance, stock prices)

calculateAdjustedClose(closeDates, closePrices, dividendD...

convertGoogleToYahooTickers( googleTickers )

convertGoogleToYahooTickers( googleTickers )

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updated 1 year ago

Get continuous live Option Prices from yahoo finance by Haidar Haidar

This code connect to Yahoo finance and download live continuous call and put option prices (download, options, download live option ...)

[C,T]=Tri_C(P_Mins,OPEN,L_MRKT)

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updated 1 year ago

Predictive model calibration by Michael Weidman

A script exploring 3 useful concepts in predictive models (monte carlo, bootstrap, bootstrapping)

plotCalibrations(pctThresholds, calib1, calib5, calib10, ...

plotForecasts(simPrices, simStartDate, actualPrices)

CalibrationScript.m

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updated 1 year ago

ARMA MODEL by Wilson Amoretty Palmeiro

This type of model help us to predict the share price (finance)

ARMA.m

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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()

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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

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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)

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updated 1 year ago

Adaptive Arrival Price by Julian Lorenz

Efficient frontier of single update arrival price model (finance, optimization, mathematics)

EV(k0, k, mu, t, I)

OptimizeSingleUpdate(I, kstatic, mu, t)

arrivalprice_singleupdate.m

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updated 1 year ago

Metastockread by Oleg Komarov

Oleg Komarov (view profile)

Read metastock files (master, emaster, xmaster and .dat/.mwd) (metastock, read, import)

metastockread(fullpath)

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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

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updated 1 year ago

South African Public Holidays by Nicole Wilson

Returns dates corresponding to non-trading days for the Johannesburg Stock Exchange in South Africa (finance, dates, function)

holidaysRSA(varargin)

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updated 1 year ago

Realtime trading with Matlab presentation files by Yair Altman

Yair Altman (view profile)

Realtime trading demo & presentation, presented at NYC Computational Finance Conference 23 May 2013 (finance, gui, data import)

findjobj(container,varargin)

tradingDemo

uisplitpane(varargin)

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updated 1 year ago

Speeding Up Algorithms: When Parallel Computing and GPUs do and don't accelerate by Michael Weidman

Files and slides from the presentation of the same name. (finance, gpu, parallel)

calcProbRuin(EquitySAVal)

calcValuePayoutAndFees_GPU( ...

calcValuePayoutAndFees_VEC( ...

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updated 1 year ago

Create a 3-Way array from excel files by Aamir Alaud Din

The program reads data from excel files and writes a three way data array (biotech, communications, finance)

prepare4mXLSX

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updated 1 year ago

Trim leading/trailing repeated values by Oleg Komarov

Oleg Komarov (view profile)

Numeric vector/2D matrix. Trims leading, trailing or both sides; operates columnwise or row-wise. (trim, repeated, leading)

trimRepLT(In,dim,mode)

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updated 1 year ago

Auto-Correlation, Partial Auto-Correlation, Cross Correlation and Partial Cross Correlation Function by Adel Fazel

This allows evaluation of ACC, PACC, CCF, PCCF as the function of lags. (system identification, modeling, finance)

AutoCorrelationF( X,m )

CrossCorrelationCal(Cause,Effect,LagMax)

PartialAutoCorrelationF( InputSeries,m,Lag )

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updated 1 year ago

Random arrays from the left truncated normal distribution. by Mike Sheppard

Mike Sheppard (view profile)

Random arrays from the left truncated normal distribution. (simulation, statistics, finance)

tnormrnd(mu,sigma,c,varargin)

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