Markowitz Efficient Frontier by Luca Beldi

Calculates the Markowitz Efficient Frontier (efficient frontier, mean standard deviati..., finance)

EfficientFrontier( Assets , NumPoints, LongOnly)

Fast String to Double Conversion by Lauri Tamminen

str2doubleq converts text to double like Matlab's str2double,but up to 400x faster! multithreaded. (data import, finance, mex)

test_str_to_double_performance()

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

Estimating VaR (conditional copula ga..., var, guassian copula)

varargout...

Generating correlation matrices based on the boundaries of their coefficients. by Kawee Numpacharoen

Correlation can be generated using uniform random variable distribution within the boundaries. (statistics, simulation, mathematics)

[C,p]=RandomCorr(n,K)

CVaR Portfolio Optimization by Seth DeLand

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object (portfolio optimizatio..., cvar, conditional value at ...)

CVaRPortfolioOptimizationExample.m

Multifractal detrended fluctuation analyses by Espen Ihlen

The multifractal (detrended fluctuation..., statistics, medical)

MFDFA1(signal,scale,q,m,Fig)

MFDFA2(signal,scale,m,Fig)

Matlabcodes.m

Real-Time Stock Viewer by Ameya Deoras

Plot and analyze live market data from Bloomberg or Yahoo. (datafeed, finance, bloomberg)

Real-Time Stock Viewer

RTviewer(varargin)

bloomRT(obj,event,Conn,ticker)

All Purpose Mortgage Calculator including mortgage schedule by S B

This calculator gives you all the information you need to know while shopping for a mortgage Loan (different interest ra..., 30 year mortgage loan..., finance)

All Purpose Mortgage Calculator including mortgage schedule

ALLMORTGAGEF(varargin)

priceF2DCDS by mono

This function performs a pricing strategy for a First to Default Credit Default Swap (CDS). (portfolio pricing, credit risk, first to default cred...)

premium=priceF2DCDS(hazard,cor,interestRate,nrsim,tinvest)

survivePortfolio by mono

Specify a joint distribution of survival times for a credit portfolio of credit risks. (portfolio, pricing, joint distribution)

p=survivePortfolio(hazard,cor,nrsim,tinvest)

Simple mortgage calculator by Samuel Cheng

A simple mortgage calculator that will output the monthly payment, the remaining balance, and so on. (mortgage, finance)

[P,In,Ba]=compute_mortgage(L,rate,years)

mortgage_example

Get stock option chains by ted teng

Get stock option chains. (option chain, stock, finance)

getOptionChainYQL(tickers)

getOptionChainYQLExample.m

Estimation value at risk by using Exponentially Weighted Moving Averagege by Ali Najjar

Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average (ewma, exponentially weighte..., statistics)

varargout=ewmaestimatevar(P1,P2,s,lambda,cl,w)

y=ewmacovariance(R1,R2,n,s,lambda)

y=ewmavariance(R,n,s,lambda)

Get Stock Information from Yahoo by ted teng

This function allows you to pull stock information from Yahoo with Yahoo! Query Language in Matlab. (yql, web scraping, finance)

getStockInformation(tickers)

FX Forward by Vilen Abramov

This file replicates cross-currency forward pricing using covered interest parity (CIP) (forex, forward, arbitrage)

fxforward

Hazard Rate Bootstrapping by Vilen Abramov

This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. (cds, bootstrapping, hazard)

hazard

THRESHOLD REGRESSION PROGRAMME by jinchun

this programme could be used to analysis the threshold effects form panel data (finance)

THRESH_P.m

Historical Stock Data Download (alternate Method) by Captain Awesome

Retrieves historical stock data from Yahoo Finance by parsing html pages instead of .csv download. (finance)

get_yahoo_stockdata2.m

Aptech Gauss Dot Multiplication by Timos Papadopoulos

Computes dot multiplication (.*) as implemented in Aptech Gauss (finance, econometrics)

gauss_dot_mul(a,b)

MAXIMUM LIKELIHOOD ESTIMATION OF THE COX-INGERSOLL-ROSS PROCESS: THE MATLAB IMPLEMENTATION by Kamil Kladivko

Maximum Likelihood Estimation of the Cox-Ingersoll-Ross process in Matlab (finance, maximum likelihood, interest rate modelin...)

CIRestimation(Model)

CIRobjective1(Params, Model)

CIRobjective2(Params, Model)

Estimation of Nelson-Siegel and Svensson Models by Kamil Kladivko

Estimation of zero yield curve from coupon bond prices by Nelson-Siegel or Svensson model. (interpolation, nelson siegel, yield curve)

NScurve(Params, Tau, Model)

NSerror.m

NSest(Bonds, ShortRates, Model, Optimization)

Text summarization tool by Bilwaj Gaonkar

Summarization of large amount of text into small summaries (natural language proc..., statistics, finance)

text_summarizer.m

FinancialModelling_Ch2_ImpliedVolatility by Kienitz Wetterau FinModelling

Carr-Madan and Lewis pricing methods using FFT for many advanced financial models (finance, implied volatility, levy)

CallPricingFFT(model,S,K,T,r,d,varargin)

CallPricingFFT2(model,S,K,T,r,d,varargin)

CharacteristicFunctionLib(model,u,lnS,T,r,d,varargin)

Measures of Analysis of Time Series toolkit (MATS) by Dimitris Kugiumtzis

MATS computes many measures of scalar time series analysis on many time series in one go. (nonlinear dynamics, time series analysis, finance)

AAFTsur(xV,nsur)

AMRBootstrap(xV,arm,nsur)

ARMAfitite(xV,mV,pV,TV)

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

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

getHistoricalIntraDayStockPrice(ticker,exchange,interval,pe...

getUniqueDayElements(dates, input)

getVWAP(price, volume, dates)

American option pricing by Steve

American option pricing using CRR method with tree output (finance)

test(S0,K,r,T,sigma,N,flag)

American put option pricing by Steve

CRR method with tree output (finance)

test(S0,K,r,T,sigma,N,flag)

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, Nominal...

comp_Ar(RealMarketPrice_T, RealMarketPrice_t, RealVolatilit...

comp_Bn(an, t, maturity)

Fit all valid parametric probability distributions to data by Mike Sheppard

ALLFITDIST Fit all valid parametric probability distributions to data. (simulation, statistics, finance)

allfitdist(data,sortby,varargin)

Multivariate normal random vectors with fixed mean and covariance matrix by Mike Sheppard

Random vectors from the multivariate normal distribution with fixed mean and covariance matrix. (statistics, finance)

mvnrnd2(mu,sigma,num,covnorm)

Black and Scholes formula - European options on dividend paying stocks by Lorenzo Brancali

This code computes the price of a Call and a Put option on dividend paying stocks (black scholes, options, dividend)

BS(S,K,sigma,tau,r,D)

Sortino Ratio by Lorenzo Brancali

This file calculates the Sortino ratio of an investment asset, portfolio or strategy. (sortino ratio, downside deviation, sortino)

sortino(R, MAR)

EWMA St.Dev. by Lorenzo Brancali

This code calculates the Exponentially Weighted Moving Average Standard Deviation (ewma, finance, standard deviation)

Y=EWMASTD(X,d)

MLE by zhiguang cao

Estimate parameters and standard errors using maximium likelihood estimation (finance, analysis, modeling)

[para,standard_deviation,fv]=my_mle(fun,para0,varargin)

Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures by Oleg Komarov

My dissertation for the MSc in Finance & Economics from Warwick Business School (dissertation, fex, finance)

bp(h,numout,varargin)

fltmedian(data,volume)

fltout(dates,price,k,mult)

Option pricing package by Paolo Zagaglia

Pricing functions for selected options with alternative methods (finance, demo, option pricing)

call_price=american_call_baw(S, X, r, b, sigma, time, accur...

call_price=american_call_bin(S, K, r, sigma, t, steps)

call_price=american_call_bin_contpay(S, K, r, y, sigma, t, ...

Metastockread by Oleg Komarov

Read metastock files (master, emaster, xmaster and .dat/.mwd) (metastock, finance, import)

metastockread(fullpath)

Hunt For Local Maxima, Minima, Plateau by Michael Chan

Illustrates identification of local maxima, minima or plateau, for exit criteria for long processes. (bioinformatics, image processing, intensive)

benchmarkSampleFunction (thresholdInitial_Trial)

determineLocationsOfMaximaMinimaPlateauFromProclivityFeatur...

determineProclivity( currentInput, previousInput )

A very simple random integer generator using rand(). by sunil anandatheertha

A very simple random integer generator using rand(). (aerospace, mathematics, statistics)

randint(i1,i2)

Weighted Data Binning [wbin] by Michael Lindholm Nielsen

Weighted data binning. (weighted data binning, data binning, time series)

wbin(X, Y, E, DX)

Random Number Generation by Aamir Alaud-din

Random integers (positive as well as negative) can be generated. (demo, finance, mathematics)

rng(ll,ul,m,n)

Shuffle Numbers by Aamir Alaud-din

Shuffles numbers in a given matrix or vector (statistics, finance, mathematics)

shuffle(X)

Russell Index Member Companies by Raj Sodhi

Downloads PDF file from www.Russell.com to get Russell Index member companies. (java external interfa..., jar, jar files)

pdf_text_read(pdfname)

sf1(cellstr,pat)

getRussellTickers2.m

Estimation of alpha-stable distribution parameters using a quantile method by Paolo Zagaglia

Parameter estimation for an alpha-stable distribution using the quantile method of McCulloch (1986). (finance, statistics, data exploration)

[params]=alpha_loglik(data)

example.m

TA-Lib Mex Functions and OSLion binaries by Davide Onofrio

The TA-Lib Library is widely used by trading software developers. (talib, technical analysis, finance)

compileMex.m

Best Fit Legend by rasam aliazizi

the best tool for signal processing, of a section of your data. (communications, control design, data export)

BestFitInfo(varargin)

Equation(polyCoeff, x, y)

GetMousePosition(varargin)

A Jacobi Auction Algorithm Implementation (simple) by Pieter Reyneke

As introduced by Vickery (1961), Bertsekas (1979) refined by Demange, Gale, Sotomayor (1980's). (aerospace, image processing, mathematics)

auction( w, iter, e, verbose )

Generate [file/folder/any] name based on current time by sunil anandatheertha

Generate [file/folder] name based on current time. Useful for some automated folder/file creation. (aerospace, data export, automotive)

genFilename()

Matlab Monte Carlo Demo on Advanced Statistical Estimation of Variance and Standard Deviation by Amitava Biswas

Matlab Monte Carlo Demo on Advanced Statistical Estimation of Variance and Standard Deviation (aerospace, automotive, biotech)

biswas48.m

Fast & Detailed Multivariate OLS Regression by Léon

Performs a fast multivariate OLS regression and gives detailed information at your fingertips (statistics, finance, mathematics)

aic.m

ci1.m

ci2.m