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updated 7 days ago

Bayesian Markov Stochastic Monte Carlo Path Integral American option pricing with Kelly Criterion by Richard Belshaw

Multipath computation of american option prices and confidence limits based on statistics (signal processing, graphics, statistics)

calculateconflevels( temperatures,np,steps )

calculatefuturevalues(dB,pdB,extenlst,TempData,phasedistp...

generateTemperatures( dB,s0,np,steps )

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updated 7 days ago

Bayesian Markov Stochastic Monte Carlo Valuation of Integrated Price Volume Action with Kelly Crit. by Richard Belshaw

A multipath simulation to evaluate the integrated price volume action value into the future (signal processing, mathematics, data import)

calculateconflevels( temperatures,np,steps )

calculatefuturevalues(dB,pdB,extenlst,TempData,phasedistp...

generateTemperatures( dB,s0,np,steps )

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updated 13 days ago

IB4m - Interactive Brokers API in MATLAB by Abel Brown

Access historical data, real-time market data, place orders, options chains, and more (finance, ib, java)

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updated 15 days ago

Covariance Tools 1.0a by Tim Gebbie

Some tools for covariance matrix estimation. (finance, modeling, analysis)

acorr(varargin)

average(X,h)

cleancov(varargin)

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updated 15 days ago

Kernel Regression Toolbox 1.0 by Tim Gebbie

Implementation of kernel regression. (finance, modeling, analysis)

Contents.m

krexample.m

kr_test_001.m

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updated 19 days ago

Online portfolio selection with transaction costs including market impact costs by Youngmin Ha

Performance comparison among quantitative investment strategies (finance)

addLibrary(folderName,matCntlId)

calcAnlRet(method,data,isTwoStg, indPtf,T,S0,b1,c_p,c_...

calcAvgPrice(q,askPrice,askVolume,bidPrice,bidVolume,indPtf)

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updated 20 days ago

Log-Normal Stochastic Volatility Model: Moment Generating Function and Pricing of Vanilla Options by Artur Sepp

Compute option prices under log-normal stochastic volatility model and calibrate model parameters (lognormal stochastic ..., option pricing, finance)

BSMimpliedVol(S,K,T,r,d,vol,optiontype,is_implyvol)

BetaSVOdeRHS(t,y,SVParameters,JumpParameters,UnderlyingTy...

BetaSVOdeRHS_Jacobian(t,y,SVParameters,JumpParameters,Und...

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updated 24 days ago

WFAToolbox by WFAToolbox Team

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

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updated 26 days ago

Compute PSA-benchmarked prepayment metrics by Dimitri Shvorob

(CPR and SMM) (finance, modeling, analysis)

cprpsa.m

mgpmt.m

smmpsa.m

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updated 26 days ago

Mean-variance portfolio optimization using GA and PATTERNSEARCH by Dimitri Shvorob

(A not-too-serious experiment / code sample) (finance, modeling, analysis)

Mean-variance portfolio optimization using GA and PATTERN...

util.m

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updated 26 days ago

Evaluate debt instrument's cash flows by Dimitri Shvorob

(given their symbolic definition) (finance, modeling, analysis)

CFEVALDEMO1

cfeval.m

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updated 26 days ago

Model a mortgage-backed security by Dimitri Shvorob

(Application of CFEVAL) (finance, modeling, analysis)

CFEVALDEMO2

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updated 26 days ago

Simulate a Cox-Ingersoll-Ross process by Dimitri Shvorob

(Exact algorithm) (finance, modeling, analysis)

CIRPATHDEMO

cirpath.m

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updated 26 days ago

Visualize payoffs of an option strategy by Dimitri Shvorob

(via an interactive GUI) (finance, modeling, analysis)

butterfly

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updated 26 days ago

Devise a bond maturity strategy by Dimitri Shvorob

(via an interactive GUI) (finance, modeling, analysis)

bondito

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updated 26 days ago

Evaluate Nelson-Siegel function by Dimitri Shvorob

(or fit one to a yield curve) (finance, modeling, analysis)

nelsonfit.m

checkfield(name,n)

nelsondemo.m

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updated 26 days ago

Visualize dynamic hedging by Dimitri Shvorob

(via an interactive GUI) (finance, modeling, analysis)

blscallprice.m

blsputprice.m

hedgedemo

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updated 26 days ago

A baby trading system by Dimitri Shvorob

(No, we don't trade babies!) (finance, modeling, analysis)

tradebot

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updated 26 days ago

Finding a similar valid correlation matrix by Erlend Ringstad

The function transforms a suggested matrix to a valid correlation matrix (finance, modeling, analysis)

validcorr(A)

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updated 27 days ago

Empirical Technical Trading Systems by Champ Mendis

Technical Trading System (finance, modeling, analysis)

AFR.m

RSI.m

OPC.m

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updated 1 month ago

Several algorithmic trading strategies on the stock ticker SPY by Moeti Ncube

Moeti Ncube (view profile)

Replication of several trading strategies presented on quantifiedstrategies.com (algorithmic trading, trading, finance)

big_fall(o,h,l,c,dte)

big_move_monday(o,h,l,c,dte)

five_day_low(o,h,l,c,dte)

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updated 1 month ago

Exploring Risk Contagion using Graph Theory and Markov Chains by Ken Deeley

Describe, visualize and model sector risk contagion for a portfolio of securities (risk, finance, graph)

heatmaputil(X, labels, titleStr, opts, ax)

infodist(X, Y)

RiskContagion.m

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updated 1 month ago

Using MATLAB to Develop Asset-Pricing Models by Bob Taylor

Bob Taylor (view profile)

Scripts to build and test Fama & French three-factor model. (finance, modeling, analysis)

FFestimateCAPM.m

FFestimateFF.m

FFwebinar.m

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updated 1 month ago

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

Bob Taylor (view profile)

Scripts to create time-evolving efficient frontiers and to backtest results. (finance, modeling, analysis)

DJIAestimate(Asset, Date, Data, Map, Reference)

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Covar0)

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updated 1 month ago

One Rank Cuckoo Search (ORCS) algorithm by Ahmed Tawfik

An improved cuckoo search algorithm for optimization problems (algorithms, cuckoo search, evolutionary algorith...)

Ackley(x)

Griewank(x)

ORCS(FitnessFunction, Dimensions, LowerBound, UpperBound,...

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updated 1 month 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 2 months ago

Simulation of a delta hedge strategy of IDI options by Allan Jonathan

Monte Carlo simulation of a delta hedge strategy of IDI options (simulation, finance, mathematics)

MatricesCouponBondVasicekImplicit.m

IDICallOptionHedgingSimulationNewDelta.m

IDICalloptionVasicekImplicit_newmannBC(INC, Yini, maxY, s...

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updated 2 months ago

Pricing software of Semi-american callable bonds by Allan Jonathan

This is a pricing software that calculates the price of Semi-american callable bonds. (modeling, finance, pricing)

CallableBondVasicekImplicit.m

MatricesCouponBondVasicekImplicit.m

SimulationCallableBond( nh, Maturity, kappa, theta, sigma...

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updated 2 months ago

uitoolbarScrollResize(fig) by Kouichi Nakamura

uitoolbarScrollResize adds a uitoolbar for magnifying,the contents (Children) of a figure fig. (finance, graphics)

uitoolbarScrollResize(fig)

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updated 2 months ago

CME group web scraper by Moeti Ncube

Moeti Ncube (view profile)

Scrapes natural gas options data from the CME group options exchange (finance, options, cme)

cmegroup_scraper.m

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updated 3 months ago

Currency Symbols by Brendan Hamm

Retrieve currency symbols from a currency char array. (currency, finance, foreign exchange)

currSym.m

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updated 3 months ago

Efficient Frontier - Portfolio optimisation (optimization) with and without short-selling by Haidar Haidar

Haidar Haidar (view profile)

This code will plot the efficient frontier with and without short-selling (portfolio, portfolio optimizatio..., finance)

EF(S, names,k)

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updated 3 months ago

Binomial Method to Price and Plot an American Put Option by Haidar Haidar

Haidar Haidar (view profile)

This codes prices American put options using binomial tree and plots the tree diagram (finance, options, american options)

Bio(S,E,r,sigma,T,NT,opti)

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updated 4 months ago

Black-Scholes values of options. by Faiq Izzuddin Kamarudin

Value of options on each period of time by using Black-Scholes (finance, blackscholes, faiq)

BSMfaiq(S,sig,E,tao,r)

BSMmultifaiq(txtfilename)

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updated 5 months ago

MonteCarloGBM by PFE

PFE (view profile)

MATLAB code 8.23 (finance)

MonteCarloGBM(T,alpha ,beta,x0,f ,N)

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updated 5 months ago

MATLAB code 8.24 by PFE

PFE (view profile)

MATLAB code 8.24 (finance)

MATLAB code 8.24.m

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updated 6 months ago

Stochastic Volatility Option Pricing by Justus Stoermer

Calculates option prices for the Heston stoch. vol. model and illustrates the parameter sensitivity. (finance, mathematics, fourier)

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updated 6 months ago

Sum-Product Algorithm by Vadim Smolyakov

Sum-Product Algorithm Applied to HMM (machine learning, finance)

sum_product(A, sigma_b, sigma_g, mu_g, px0, y)

sum_product_script.m

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updated 6 months ago

Samuelson test of time diversification in portfolio allocation by Joseph Clark

Does investment horizon change optimal portfolio risk if investors only care about final log wealth? (finance, investment, investment horizon)

SamuelsonTest.m

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updated 6 months ago

Estimating Option-Implied Probability Distributions for Asset Pricing by Ken Deeley

Create fan charts for future asset prices based on sparse call/put price market data (mathematics, statistics, finance)

OptImpRatesArticle.m

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updated 7 months ago

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

Ahmos Sansom (view profile)

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

CalibrateSpotModel.m

CalibrateFCModel(historicalForwardCurves, nFactors)

GetCov(x, y)

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updated 8 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 8 months 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 8 months 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 8 months 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 9 months 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 9 months 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 9 months 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 9 months 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 9 months 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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