Laurence Johns

 

Comments and Ratings by Laurence		1 - 1 of 1
Updated	File	Comments	Rating
01 Jul 2009	PADCAT concatenate vectors with different lengths by padding with NaN (v1.2, oct 2011) Author: Jos (10584)

Files Matching Laurence's Watch List					View all 1 - 5 of 8
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
17 Aug 2011		MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin	markov switching, econometrics, analysis, optimization, statistics, finance	262	92	4.5 4.5 | 32 ratings
10 Sep 2010		Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters Author: Marcelo Perlin	pairs trading, quantitative strategy, finance, analysis, financial modelling, modeling	134	22	4.66667 4.7 | 9 ratings
22 May 2009		Estimation and Simulation of ACD models in MatLab Functions and Scripts for Simulation and Estimation of ACD models Author: Marcelo Perlin	acd models, finance, analysis, modeling, financial econometric..., duration	21	3	5.0 5.0 | 3 ratings
10 May 2009		Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. Author: Marcelo Perlin	database, yahoo, data import, trading data, stocks, statistics	48	8	5.0 5.0 | 2 ratings
09 Sep 2008		Estimation and Simulation of State Space (Kalman Filter) Models with Matlab Functions and Scripts for Simulation and Estimation of State Space models Author: Marcelo Perlin	kalman filter, state space, analysis, finance, modeling, econometrics	46	4	1.66667 1.7 | 3 ratings

Comments and Ratings Matching Laurence's Watch List			1-5 of 24
Date	File	Comment by	Comments	Rating
19 Apr 2011	Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters	Nicolasillo	Actually I found the info I needed. Thank you!	Comment only
19 Apr 2011	Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters	Nicolasillo	Hi Marcelo, It may sound like a stupid question, as I just started using MatLab, but in the description of the algorith is says that "Outputs all trades, including traded prices and time of trades. " Actually, I am having difficulties in finding the actual file that reports these. Thank you!	Comment only
14 Apr 2011	Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters	Marcelo Perlin	Hi Fuzhi, Econometrically speaking, yes, it would be more intuitive to pick pairs according to a cointegration analysis since it implies a stationary residual from the linear transformation. But, what I set out to do in the code was to have the simplest case of pairs trading. This justify the use of quadratic error and correlation to find the pairs. Regards, Marcelo.	Comment only
14 Apr 2011	Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters	Fuzhi Cheng	Hi, Marcelo: Would it better to build a cointegration analysis into the pair selection process? Basically you pick the pairs, triples or whatever, that are cointegrated. That seems to be more statistically sound. Thanks. Fuzhi	5
21 Jan 2010	Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters	Marcelo Perlin	Hi Ahmet, My replies by email. Regards.	Comment only