Rank: 299 based on 265 downloads (last 30 days) and 4 files submitted
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Michael Weidman

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Company/University
Quantitative Support Services
Lat/Long
51.46057, -0.306934

Personal Profile:

Consultant for Quantitative Support Services, providing analytical and computational guidance to the finance and other industries.

Find out more at www.quantsupport.com.

Professional Interests:
quantitative finance, statistics, optimization, data mining

 

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Files Posted by Michael View all
Updated   File Tags Downloads
(last 30 days)
Comments Rating
15 Jan 2014 Screenshot Zero-Order Hold A fast, basic implementation of a ZOH designed to run on vectors/matrices Author: Michael Weidman zoh, zeroorder hold, interpolation, resampling, tick data, backtesting 20 0
10 Jan 2014 Screenshot Download Daily Data from Google and Yahoo! Finance Provides functions for getting data from both data sources as well as helper utility functions Author: Michael Weidman finance, google finance, stock prices, adjusted close, unit test, potw 209 10
  • 5.0
5.0 | 9 ratings
02 Jan 2014 Screenshot Predictive model calibration A script exploring 3 useful concepts in predictive models Author: Michael Weidman monte carlo, bootstrap, bootstrapping, nate silver, backtesting, finance 20 0
25 Sep 2013 Screenshot Speeding Up Algorithms: When Parallel Computing and GPUs do and don't accelerate Files and slides from the presentation of the same name. Author: Michael Weidman finance, gpu, parallel, gmwb, var 16 0
Comments and Ratings by Michael View all
Updated File Comments Rating
27 Jul 2014 Download Daily Data from Google and Yahoo! Finance Provides functions for getting data from both data sources as well as helper utility functions Author: Michael Weidman

Steven: The error message indicates that calculateAdjustedClose.m is not on the MATLAB path.

It is certainly included in the above ZIP-archive, so please ensure that you have extracted ALL of the files in the archive and added them to the path.

04 Jul 2014 JSON Parser Parses JSON strings into structures and cells Author: Joel Feenstra

Does precisely what it claims: perfect for me to quickly parse results from the Google Geocoding API with no headaches. Thanks, Joel!

10 Jan 2014 Download Daily Data from Google and Yahoo! Finance Provides functions for getting data from both data sources as well as helper utility functions Author: Michael Weidman

Thanks for catching that, Hugh. I had forgotten that the TODAY function is a part of Financial Toolbox (for some strange reason). You can always replace TODAY with FLOOR(NOW), or (in the context that this function applies it) you can just use NOW.

I've posted an update to this File Exchange submission accordingly, and it should publicly appear soon. Thanks!

06 Nov 2013 Download Daily Data from Google and Yahoo! Finance Provides functions for getting data from both data sources as well as helper utility functions Author: Michael Weidman

Hi, engineer!

In your first point, I'm not certain what you mean. When DATEVEC is used in this code, it's always passed dates in a numeric format (which is a valid syntax). Date formatting conventions don't enter the picture as far as DATEVEC is concerned.

For your second point, you're correct that the code does not make any adjustments for splits. In fact, only Google even reports when the splits occurred. My investigations concluded that both Yahoo! and Google already adjust for splits in both their raw closing prices and their volume data, so I just took that as a given. I'm happy to hear if you find that further adjustments need to be made.

Resampling the data to weekly or monthly intervals is beyond the scope of this submission. Perhaps you can create such an enhancement and submit it to the file exchange!

Finally, I'm unsure what you mean by your comment involving plotting: there is no data plotting in this submission. That said, I've found the dynamic date tick submission at http://www.mathworks.co.uk/matlabcentral/fileexchange/27075-intelligent-dynamic-date-ticks to be incredibly useful when I try to plot time series like these.

Comments and Ratings on Michael's Files View all
Updated File Comment by Comments Rating
31 Jul 2014 Download Daily Data from Google and Yahoo! Finance Provides functions for getting data from both data sources as well as helper utility functions Author: Michael Weidman Frédéric

27 Jul 2014 Download Daily Data from Google and Yahoo! Finance Provides functions for getting data from both data sources as well as helper utility functions Author: Michael Weidman Weidman, Michael

Steven: The error message indicates that calculateAdjustedClose.m is not on the MATLAB path.

It is certainly included in the above ZIP-archive, so please ensure that you have extracted ALL of the files in the archive and added them to the path.

24 Jul 2014 Download Daily Data from Google and Yahoo! Finance Provides functions for getting data from both data sources as well as helper utility functions Author: Michael Weidman Shimizu, Steven

I'm running 2013a MATLAB with the Statistics Toolbox. I get an error when I run the example:
>> [data, dividends] = getGoogleDailyData({'NASDAQ:MSFT', 'EPA:ML'}, ...
'01/01/2010', '01/01/2013', 'dd/mm/yyyy');

Undefined function 'calculateAdjustedClose' for input
arguments of type 'double'.

Error in getGoogleDailyData (line 128)
ds.AdjClose = ...

What is the issue?

08 Jun 2014 Download Daily Data from Google and Yahoo! Finance Provides functions for getting data from both data sources as well as helper utility functions Author: Michael Weidman Zikas, Nikolaos

27 May 2014 Download Daily Data from Google and Yahoo! Finance Provides functions for getting data from both data sources as well as helper utility functions Author: Michael Weidman francesco

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