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updated 8 months ago

GARCH,EGARCH,NAGARCH,GJR models and implicit VIX by Luis Espejo

Estimate GARCH/EGARCH/NAGARCH/GJR parameters from a time series of prices , rates and VIX value. (garch, vix, calibration)

Futures

Models

egarchmodel

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updated 8 months ago

Predictive model calibration by Michael Weidman

A script exploring 3 useful concepts in predictive models (monte carlo, bootstrap, bootstrapping)

plotCalibrations(pctThresholds, calib1, calib5, calib10, ...

plotForecasts(simPrices, simStartDate, actualPrices)

CalibrationScript.m

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updated 8 months ago

Backtracking Search Optimization Algorithm by PINAR CIVICIOGLU

A new swarm-based global optimization algorithm for real valued numerical optimization problems. (optimization, signal processing, image processing)

FoxHoles(x,mydata)

[fname,fnc,low,up,dim]=setttingOfBenchmarkFnc(i)

ackley(x,mydata)

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updated 8 months ago

Image segmentation results similarity measure Jaccard co-efficient(JC) by Arumugam G

This function computes the similarity between segmented and ground truth image. (jaccard coefficient)

jaccard_coefficient(img_Orig,img_Seg)

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updated 9 months ago

MATLAB for R Users in Computational Finance by Ameya Deoras

Learn how to use MATLAB and R together to tackle your computational needs (r, rstudio, time series)

blsapp()

blsbtyval(SpotPrice, StrikePrice, RiskFreeRate, ...

blsmaincall2(Request)

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updated 9 months ago

Natural Gas Storage Optimization & Intrinsic Valuation by Ameya Deoras

Calculate optimal injection/withdrawal schedules for gas storage facility (energy trading)

createConstraints(facility, N, daysInMonth, startVol, end...

monthDays(dates)

plotResults(solution, facility, startVol, endVol)

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updated 9 months ago

percentilePlot: Plot Any Percentile for Time Series Data by Kirk

Plot specific percentile for any 2d or 1d data set. (statistics, distribution, plot)

colorSpectrum(N)

percentilePlot(Data,varargin)

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updated 9 months ago

Working with Time-Series Data in MATLAB by Abhaya

These are the example files for the webinar: "Working with Time-Series Data in MATLAB". (data exploration, interpolation, data import)

createfigure(X1, Y1)

ausmap.m

format_data.m

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updated 9 months ago

Levene's test for homogeneity of variance by Aaron Schurger

Tests for differences in variance between different subsets of data. (statistics, variance, anova)

levenes(data,grp)

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updated 10 months ago

Algorithmic Trading | Moving Average Crossover Strategy with WFAToolbox by WFAToolbox

The classical technical analysis strategy for an advanced algorithmic trading GUI - WFAToolbox (finance, gui, trading)

MAcross_strategy(x,price)

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updated 10 months ago

randanova2 by David Stern

Perform permutation test to estimate P-value for two-way ANOVA (anova, statistics, permutation)

randanova2(m,groups,num,interaction)

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updated 10 months ago

randanova1 by David Stern

Perform permutation test to estimate P-value for one-way ANOVA (anova, statistics)

randanova1(m,group,num)

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updated 10 months ago

fitmethis by Francisco de Castro

FITMETHIS finds best-fitting distribution to data vector (fitting, best fit, maximum likelihood)

fitmethis(data,varargin)

plotfitdist(data,distname,par,dtype,varargin)

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updated 11 months ago

Algorithmic Trading with Bloomberg EMSX and MATLAB by Nicole Wilson

Files used in the webinar which can be viewed at http://www.optinum.co.za/webinars/contact_main.php (finance, demo, webinar)

constructTradingSignal(Data,M,N)

executeTrades(c, equity, signal)

generateSpacedInts(lb, ub, number)

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updated 11 months ago

Parallel Coordinate Plots GUI toolbox by Barnaby

Visualize and manipulate parallel coordinate plots with this GUI. UNIVERSITY OF BRISTOL (parallel coordinate p..., parallel coordinate p..., parallel coordinate)

AN=scaletominmax(A)

AN=scaletominmax(A)

Filter(varargin)

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updated 11 months ago

Speeding Up Algorithms: When Parallel Computing and GPUs do and don't accelerate by Michael Weidman

Files and slides from the presentation of the same name. (finance, gpu, parallel)

calcProbRuin(EquitySAVal)

calcValuePayoutAndFees_GPU( ...

calcValuePayoutAndFees_VEC( ...

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updated 12 months ago

MSKCC CGDS Cancer Genomics Toolbox by Erik Larsson

Functions for retrieving data from the Cancer Genomics Data Server (CGDS) at MSKCC cBio. (biology, genomics, medical)

getcancerstudies(cgdsURL, varargin)

getcaselists(cgdsURL, cancerTypeId, varargin)

getclinicaldata(cgdsURL, caseListId, varargin)

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updated 12 months ago

Differential Search Algorithm: A modernized particle swarm optimization algorithm by PINAR CIVICIOGLU

DSA is a modernized particle swarm optimization algorithm. (simulation, optimization, statistics)

ds(method,fnc,mydata,size_of_superorganism,size_of_one_cl...

out=circlefit(X,mydata)

out=weierstrass(X,str)

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updated 12 months ago

Commodities Trading with MATLAB by Anshuman Mishra

Demos from the 'Commodities Trading with MATLAB' webinar - July 25, 2013. (algorithmic trading, automated trading, trading)

ComputeCrossSectionalMomentum(params)

ComputeCrossSectionalStrategy( CommodityTypes, mainContai...

FilterByContractNumber( parentSet, contractNum)

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updated 12 months ago

Tests against the null hyptothesis of whiteness by Hanan Shteingart

Tests whether a given signal is white (delta function in autocorrelation) (whiteness, random, noise)

white_test(x, maxlag, alpha)

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updated 12 months ago

press by Antonio Trujillo-Ortiz

Prediction error sum of squares. (statistics, probability, residual scaling)

press(D)

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updated 1 year ago

Content Based Image Retrieval by Chez

Simple content based image retrieval for demonstration purposes. Either using knn or classification (image retrieval, content based image r..., classification)

L1(numOfReturnedImages, queryImageFeatureVector, dataset)

L2(numOfReturnedImages, queryImageFeatureVector, dataset,...

[obj, overall]=confMatPlot(confMat, opt)

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updated 1 year ago

Signal Dependent Noise Level Estimation by xinhao liu

This code will estimate the three parameters of signal dependent noise model. (signal dependent nois..., noise variance, noise estimation)

GSGNoiseModel(sigw, sigu, gamma,X)

SGDNoiseLevel(img,patchsize,conf,itr)

addSGDNoise(X, sigw, sigu, gamma )

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updated 1 year ago

Improved Digital Image Correlation (DIC) by Elizabeth Jones

Calculate full-field displacements and strains from a set of images with a random speckle pattern. (digital image correla..., experimental mechanic..., noncontact)

...

...

...

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updated 1 year ago

A New Global Optimization Method based on Clustering by Bayram

The clustering technique and parabolic approximation are used in this method. (global unconstrained ...)

GOBC_PA.m

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updated 1 year ago

gkgammatst by Antonio Trujillo-Ortiz

Goodman-Kruskal's gamma test. (goodmankruskals gamma, ordered qualitative v..., contingency table)

gkgammatst.m

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updated 1 year ago

xlsSeerComputeSurvivalFuntionKSTest2ver2 by Rex Cheung

This program is a ver2 of a SCOPE sub-routine extends Matlab 2-sample Kolmogorov-Smirnov test (statistics)

xlsSeerComputeSurvivalFuntionKSTest2ver2(xlsfilename)

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updated 1 year ago

Rank aggregation by Nejc Ilc

Summarizes ordered lists. (statistics, data exploration, rank aggregation)

aggregateRanks(R, N, method, complete, topCutoff)

betaScores(r)

correctBetaPvalues(p,k)

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updated 1 year ago

faster perfcurve (just in case you use FPR and TPR) by Hanan Shteingart

Did you notice perfcurve is slow? This version of perfcurve is faster (perfcurve, auc, eer)

...

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updated 1 year ago

Stochastic Radial Basis Function Algorithm for Global Optimization by Julie

Solves computationally expensive black-box global optimization problems with box constraints (global optimization, radial basis function, blackbox)

ComputeRBF(CandPoint,Data)

Data=datainput_Schoen_10_4_3

Data=datainput_Schoen_17_2_5

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updated 1 year ago

Negative Binomial Regression by Surojit Biswas

NB2 Negative-Binomial regression. (statistics, mathematics, optimization)

nbreg( x, y, varargin )

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updated 1 year ago

Building and Extending Portfolio Optimization Models with MATLAB by sri

Object-oriented implementations of the Portfo and the Black-Litterman approach (portfolio optimizatio..., finance, object oriented progr...)

View(varargin)

compareWeights( ExcessHistoricalReturns, ExcessImpliedRet...

PortfolioBL

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updated 1 year ago

Mass Univariate ERP Toolbox by David Groppe

Functions for performing and visualizing mass univariate analyses of event-related potentials. (massively univariate ..., mass univariate analy..., eventrelated potentia...)

EEG=bin_info2EEG(EEG_or_fname,blf_fname,save_fname,verble...

GND=baselineGND(GND,bsln_wind,verblevel)

GND=bin_dif(GND,binA,binB,dif_bindesc,dif_ccode,dif_ccdescr)

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updated 1 year ago

welchanovawd by Antonio Trujillo-Ortiz

Welch ANOVA Test for Unequal Variances without data. (anova, heteroscedasticity, kmeans)

welchanovawd.m

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updated 1 year ago

aov2apr by Antonio Trujillo-Ortiz

Two-way analysis of variance with a planned (a priori) factor. (analysis of variance, anova, twoway)

aov2apr.m

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updated 1 year ago

Total Least Squares Method by Ivo Petras

Mathematical method known as total least squares or orthogonal regression or error-in-variables. (total least squares, orthogonal regression, errorinvariables)

[Err, min_param]=numerFminD(fun, p, LBa, UBa, xdata, ydat...

[Err, min_param]=numerFminS(fun, p, LBa, UBa, xdata, ydata)

[F, Srez, Scel]=statindexes(XData, YData, a, b)

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updated 1 year ago

Outlier removal v2 by Paul

Rosner's many outlier test, vectorized. (outlier removal, outlier, rosner)

outlier(y, alpha, k)

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updated 1 year ago

Measures of Effect Size Toolbox by Harald Hentschke

Computes diverse effect size statistics including confidence intervals (statistics, effect size, noncentral)

ci=ncpci(x,fType,df,varargin)

mes.m

mes1way.m

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updated 1 year ago

ToleranceFactor by Viktor Witkovsky

ToleranceFactor computes the exact tolerance factor for the two-sided tolerance interval (statistics, measurement, tolerance interval)

ComputeTables(N,M,coverage,confidence,options)

ToleranceFactor(n,coverage,confidence,options)

ToleranceFactorGK.m

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updated 1 year ago

Hierarchically grouped boxplot by Matt Tearle

A modification to boxplot that shows the hierarchical relationships between the grouping variables. (boxplot, variability plot, statistics)

hierarchicalBoxplot(x,grp,separatorlines,color)

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updated 1 year ago

Soft Independent Modeling of Class Analogy (SIMCA) by Cleiton Nunes

M-files for classes modeling and prediction by SIMCA (chemometrics, classification, simca)

simca.m

simcapred.m

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updated 1 year ago

Gap statistics by Alessandro Crimi

Algorithm for cluster validity index, R. Tibshirani et al. 2001 (cluster, validity index, kmeans)

gap_statistics(data, num_clusters, num_reference_bootstra...

test_gap_statistics(test_datas)

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updated 1 year ago

Multiple curve fitting with common parameters using NLINFIT by Chen

Wrapper for NLINFIT which allows simultaneous fitting for multiple data sets with shared parameters. (fitting, multiple, nonlinear)

nlinmultifit(x_cell, y_cell, mdl_cell, beta0, options)

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updated 1 year ago

x2fx_names - compound predictor names for x2fx by Dmitry Kaplan

returns NAMES of columns for the output of x2fx() (x2fx, statistics, predictors)

res=x2fx_names(PredictorNames,model)

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updated 1 year ago

Owlstone Lonestar PLS Regression Analysis by Giuseppe Elia

Program to perform PLS regression analysis on Owlstone's Lonestar FAIMS analyser. (lonestar, faims, pls)

FAIMS_OFFLINE(varargin)

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updated 1 year ago

SimpleScores by Giuseppe Elia

Plots the PCA scores using the princomp(X) function. Loads files direct from .csv. (scores, pca, data analysis)

SimpleScores(varargin)

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updated 1 year ago

COMPLETE HIGUCHI FRACTAL DIMENSION ALGORITHM by Salai Selvam V

MATLAB code for Higuchi Fractal Dimension (higuchi fractal dimen..., chaos, nonlinear dynamics)

[varargout]=wsc(N,lamda,M,H)

xhfd=hfd(x,kmax)

try.m

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updated 1 year ago

NHANESCOPEConvertSASCodeToSTATACodeToReadNHANESDataFile by Rex Cheung

This NHANESCOPE program converts a SAS input program to a STATA do-file (data export, data import)

NHANESCOPEConvertSASCodeToSTATACodeToReadNHANESDataFile(S...

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updated 1 year ago

NHANESCOPE: National Health and Nutrition Examination Survey Clinical Outcome Prediction Expert by Rex Cheung

This program is a part of a software suite developed to analyze NHANES public use data (data export, data import)

NHANESCOPEUseSASCodeToReadNHANESDataFileToMatlab(SASCodeF...

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updated 1 year ago

Iterative Closest Point by Jakob Wilm

An implementation of various ICP (iterative closest point) features. (icp, iterative closest poi..., bestfit)

icp(q,p,varargin)

demo.m

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