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Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex |
3 Comments 5 Downloads (30 Days) |
![]() updated 9 months ago |
the code uses R/S analysis to derive Hurst exponent |
1 Comment 24 Downloads (30 Days) |
![]() updated 9 months ago |
Linear regression with statistics for multiple category data This function does linear regression with statistics for multiple category data (OLS and RMA) |
0 Comments 8 Downloads (30 Days) |
![]() updated 10 months ago |
Calculates the Markowitz Efficient Frontier |
0 Comments 9 Downloads (30 Days) |
![]() updated 10 months ago |
Fast String to Double Conversion str2doubleq converts text to double like Matlab's str2double,but up to 400x faster! multithreaded. |
15 Comments 19 Downloads (30 Days) |
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Estimation value at risk by using Conditional Copula-GARCH Estimating VaR |
0 Comments 26 Downloads (30 Days) |
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Generating correlation matrices based on the boundaries of their coefficients. Correlation can be generated using uniform random variable distribution within the boundaries. |
3 Comments 8 Downloads (30 Days) |
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Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object |
1 Comment 26 Downloads (30 Days) |
![]() updated 11 months ago |
Multifractal detrended fluctuation analyses The multifractal |
0 Comments 32 Downloads (30 Days) |
![]() updated 11 months ago |
Plot and analyze live market data from Bloomberg or Yahoo. |
2 Comments 64 Downloads (30 Days) |
![]() updated 11 months ago |
All Purpose Mortgage Calculator including mortgage schedule This calculator gives you all the information you need to know while shopping for a mortgage Loan |
6 Comments 31 Downloads (30 Days) |
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This function performs a pricing strategy for a First to Default Credit Default Swap (CDS). |
0 Comments 3 Downloads (30 Days) |
![]() updated 11 months ago |
Specify a joint distribution of survival times for a credit portfolio of credit risks. |
0 Comments 5 Downloads (30 Days) |
![]() updated 11 months ago |
A simple mortgage calculator that will output the monthly payment, the remaining balance, and so on. |
0 Comments 5 Downloads (30 Days) |
![]() updated 11 months ago |
Get stock option chains. |
1 Comment 12 Downloads (30 Days) |
![]() updated 11 months ago |
Estimation value at risk by using Exponentially Weighted Moving Averagege Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average varargout=ewmaestimatevar(P1,P2,s,lambda,cl,w) |
1 Comment 14 Downloads (30 Days) |
![]() updated 12 months ago |
Get Stock Information from Yahoo This function allows you to pull stock information from Yahoo with Yahoo! Query Language in Matlab. |
4 Comments 20 Downloads (30 Days) |
![]() updated 12 months ago |
This file replicates cross-currency forward pricing using covered interest parity (CIP) |
0 Comments 16 Downloads (30 Days) |
![]() updated 1 year ago |
This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. |
0 Comments 8 Downloads (30 Days) |
![]() updated 1 year ago |
THRESHOLD REGRESSION PROGRAMME this programme could be used to analysis the threshold effects form panel data |
0 Comments 4 Downloads (30 Days) |
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Historical Stock Data Download (alternate Method) Retrieves historical stock data from Yahoo Finance by parsing html pages instead of .csv download. |
5 Comments 22 Downloads (30 Days) |
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Aptech Gauss Dot Multiplication Computes dot multiplication (.*) as implemented in Aptech Gauss |
0 Comments 0 Downloads (30 Days) |
![]() updated 1 year ago |
MAXIMUM LIKELIHOOD ESTIMATION OF THE COX-INGERSOLL-ROSS PROCESS: THE MATLAB IMPLEMENTATION Maximum Likelihood Estimation of the Cox-Ingersoll-Ross process in Matlab |
0 Comments 21 Downloads (30 Days) |
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Estimation of Nelson-Siegel and Svensson Models Estimation of zero yield curve from coupon bond prices by Nelson-Siegel or Svensson model. |
1 Comment 41 Downloads (30 Days) |
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Summarization of large amount of text into small summaries |
0 Comments 38 Downloads (30 Days) |
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FinancialModelling_Ch2_ImpliedVolatility Carr-Madan and Lewis pricing methods using FFT for many advanced financial models CallPricingFFT(model,S,K,T,r,d,varargin) |
1 Comment 35 Downloads (30 Days) |
![]() updated 1 year ago |
Measures of Analysis of Time Series toolkit (MATS) MATS computes many measures of scalar time series analysis on many time series in one go. |
17 Comments 72 Downloads (30 Days) |
![]() updated 1 year ago |
Volume Weighted Average Price from Intra-Daily Data Retrieves the VWAP from intra-daily data of Google Finance getHistoricalIntraDayStockPrice(ticker,exchange,interval,... |
2 Comments 31 Downloads (30 Days) |
![]() updated 1 year ago |
American option pricing using CRR method with tree output |
0 Comments 6 Downloads (30 Days) |
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CRR method with tree output |
0 Comments 4 Downloads (30 Days) |
![]() updated 1 year ago |
Pricer of Inflation-Indexed Swaps Zero Coupon and Year on Year Indexed on the Inflation rate according to the Jarrow Yildirim model. comp_An(NominalMarketPrice_T, NominalMarketPrice_t, Nomin... comp_Ar(RealMarketPrice_T, RealMarketPrice_t, RealVolatil... |
0 Comments 5 Downloads (30 Days) |
![]() updated 1 year ago |
Fit all valid parametric probability distributions to data ALLFITDIST Fit all valid parametric probability distributions to data. |
15 Comments 165 Downloads (30 Days) |
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Multivariate normal random vectors with fixed mean and covariance matrix Random vectors from the multivariate normal distribution with fixed mean and covariance matrix. |
0 Comments 3 Downloads (30 Days) |
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Black and Scholes formula - European options on dividend paying stocks This code computes the price of a Call and a Put option on dividend paying stocks |
0 Comments 2 Downloads (30 Days) |
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This file calculates the Sortino ratio of an investment asset, portfolio or strategy. |
0 Comments 6 Downloads (30 Days) |
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This code calculates the Exponentially Weighted Moving Average Standard Deviation |
0 Comments 29 Downloads (30 Days) |
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Estimate parameters and standard errors using maximium likelihood estimation |
4 Comments 3 Downloads (30 Days) |
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Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures My dissertation for the MSc in Finance & Economics from Warwick Business School |
1 Comment 15 Downloads (30 Days) |
![]() updated 1 year ago |
Pricing functions for selected options with alternative methods call_price=american_call_baw(S, X, r, b, sigma, time, acc... call_price=american_call_bin(S, K, r, sigma, t, steps) call_price=american_call_bin_contpay(S, K, r, y, sigma, t... |
0 Comments 23 Downloads (30 Days) |
![]() updated 1 year ago |
Read metastock files (master, emaster, xmaster and .dat/.mwd) |
8 Comments 9 Downloads (30 Days) |
![]() updated 1 year ago |
Hunt For Local Maxima, Minima, Plateau Illustrates identification of local maxima, minima or plateau, for exit criteria for long processes. benchmarkSampleFunction (thresholdInitial_Trial) determineLocationsOfMaximaMinimaPlateauFromProclivityFeat... |
2 Comments 8 Downloads (30 Days) |
![]() updated 1 year ago |
A very simple random integer generator using rand(). A very simple random integer generator using rand(). |
0 Comments 6 Downloads (30 Days) |
![]() updated 1 year ago |
Weighted data binning. |
1 Comment 2 Downloads (30 Days) |
![]() updated 1 year ago |
Random integers (positive as well as negative) can be generated. |
1 Comment 5 Downloads (30 Days) |
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Shuffles numbers in a given matrix or vector |
2 Comments 5 Downloads (30 Days) |
![]() updated 1 year ago |
Russell Index Member Companies Downloads PDF file from www.Russell.com to get Russell Index member companies. |
0 Comments 1 Download (30 Days) |
![]() updated 1 year ago |
Estimation of alpha-stable distribution parameters using a quantile method Parameter estimation for an alpha-stable distribution using the quantile method of McCulloch (1986). |
0 Comments 12 Downloads (30 Days) |
![]() updated 1 year ago |
TA-Lib Mex Functions and OSLion binaries The TA-Lib Library is widely used by trading software developers. |
5 Comments 8 Downloads (30 Days) |
![]() updated 1 year ago |
the best tool for signal processing, of a section of your data. |
0 Comments 7 Downloads (30 Days) |
![]() updated 1 year ago |
A Jacobi Auction Algorithm Implementation (simple) As introduced by Vickery (1961), Bertsekas (1979) refined by Demange, Gale, Sotomayor (1980's). |
0 Comments 12 Downloads (30 Days) |