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updated 6 months ago

ERCOT Price Processing Toolbox by Mahdi Kefayati

ERCOT Price Processing Toolbox (price, ercot, excel)

ErcotAsPrices=prcAsPriceData(dataPath)

ErcotDamPrices=prcDamPriceData(dataPath)

ErcotRtmPrices=prcRtmPriceData(dataPath)

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updated 1 year ago

Price/Volume chart by Foo

Plots the stock price with the volume as a horizontal bar histogram (finance, data, volume)

pricevolume_chart(date_vect,close_day, volume_vect)

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updated 2 years ago

Volume Weighted Average Price from Intra-Daily Data by Semin Ibisevic

Retrieves the VWAP from intra-daily data of Google Finance (volume, weighted, average)

getHistoricalIntraDayStockPrice(ticker,exchange,interval,...

getUniqueDayElements(dates, input)

getVWAP(price, volume, dates)

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updated 2 years ago

Pricer of Inflation-Indexed Swaps by Julien Sautier

Zero Coupon and Year on Year Indexed on the Inflation rate according to the Jarrow Yildirim model. (swaps, finance, jarrow)

comp_An(NominalMarketPrice_T, NominalMarketPrice_t, Nomin...

comp_Ar(RealMarketPrice_T, RealMarketPrice_t, RealVolatil...

comp_Bn(an, t, maturity)

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updated 5 years ago

Log-Uniform Jump-Diffusion Model by Rodolphe Sitter

European call option price and implied volatility for a Log-Uniform Jump-Diffusion model. (finance, loguniform, jump)

BS(S0,t,K,T,Rgrow,Rdisc,sigma)

JDimpv(S0, X, r, T, a, b, lambda, value)

JDprice.m

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updated 5 years ago

Volatility Surface by Rodolphe Sitter

Compute and Plot Volatility Surfaces from Market Prices (volatility, surface, implied volatility)

VolSurface(S0, r, T, K, CallPrice)

Example1.m

Example2.m

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updated almost 9 years ago

Weak form market efficiency tests by Anis Ben Hassen

market efficiency tests (finance, modeling, analysis)

averday.m

chow_test.m

momentum.m

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