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Date	File	Comment by	Comment	Rating
20 Nov 2009	Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin	Perlin, Marcelo	Hi Sahinder, HAve a look in matlab help files. There you can find all the information about importing xls data into matlab. Cheers. Marcelo.
09 Nov 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	Perlin, Marcelo	Hi Michele, the benchmark asset is not downloaded. If you want it, just include the ticker in example_ticker.txt. Marcelo.
29 Oct 2009	Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin	Perlin, Marcelo	Oi Felipe, Agradeco pelo interesse no programa. Favor entrar em contato pelo meu email. Abraco. Marcelo.
08 Aug 2009	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin	Perlin, Marcelo	MehdiHK, For A), from what you wrote it seems that the the transition matrix in the reference you used has a different notation than mine. In short, my transposed transition matrix will be equal to yours. Therefore, for my code, you should be looking at columns for the full process in each state (and not rows). For B), I was not clear. I meant the decrease of one element in each state. So we agree. Regards.
07 Aug 2009	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin	Perlin, Marcelo	Dear MehdiHK, regarding your first comment, the way I coded the optimization problem was jsut a matter of simplicity in the algorithm. I'm fully aware that the search space could be decreased by one elemente by conducting it as a inequality optimization problem, as opposed to an equality one. For your second comments, the p values of the coefficients are fine and so is the way I coded the transition matrix. If you look closelly in MS_Regress_Fit, you'll see that I'm using constrained estimation so that the each column of Coeff.p is summing to 1, according to my choice of numerical convergence. If you have any further question, feel free to drop me an email. Marcelo.
03 Aug 2009	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin	Perlin, Marcelo	Hi gajd, fell free to contact me in my email. Cheers.
03 May 2009	Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin	Perlin, Marcelo	Hi V, Thanks for you comment. Sorry for the late reply. I just realized you comment on file. Yes, this would speed up the algorithm, but, it also degenerates the Qdist matrix with respect of the infomration I need to find the pairs with the pairs(:,1)=n; command. . So, I employed a quick fix based on your idea. See new updated file for details. Again, thanks. Cheers. Marcelo.
16 Mar 2009	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin	Perlin, Marcelo	Hi Elena, Currently the package can't handle TVTP models as the transition matrix is assumed constant. You'll have to modify the original code for this setup. Regards. Marcelo.
18 Feb 2009	MIN2, MAX2 Global min or max value of a 2-d array, the search may be limited to specified rows or columns Author: John D'Errico	Perlin, Marcelo	This is Pretty cool John. I really like the feature of limiting the search space. Tks for it. Regards, Marcelo.
05 Jan 2009	Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy over a matrix of prices. Author: Marcelo Perlin	Perlin, Marcelo	Hi Bob, Thanks for you comment. Sorry for the late reply (vacation was great!). I agree with you that the way I normalized the time series of prices is not realistic. At the time I wrote the paper (which produced the matlab code) that seemed to be a good way of bringing all stock prices to the same unit but, today, I can see the drawbacks. I cannot change the paper (it is already published) but I'm going to add another option of normalization to the algorithm. Regards, Marcelo.
12 Dec 2008	MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast a markov switching model in Matlab Author: Marcelo Perlin	Perlin, Marcelo	Hi Jonathan, The parameters are estimated by standard maximum likelihood procedure so, currently, the EM algorithm is not implemented. I'll keep it in mind for the future. Regards. Marcelo.
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