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updated 2 months ago

TSK Forecasting by Dmitrii Levin

A fuzzy neural network for forecasting time series (fuzzy logic, neural networks, time series)

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updated 3 months ago

MULTIVARIATE GARCH BASED ON PCA by Tal Shir

Generage Convariance mairix using PCA-GARCH model (garch, multivariate garch, correlation)

[Cov Corr PCov PCorr PRt Model PRterr NumFac COEFF,SCORE,...

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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)

Backtest Moving Average RSI Combo Strategy

Optimizing Market Risk using Copula Simulation

blsapp()

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updated 10 months ago

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

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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 12 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)

Algorithmic Trading with MATLAB and Bloomberg EMSX: Onlin...

Algorithmic Trading with MATLAB: Intraday trading

Bloomberg EMSX API: Simple Examples

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updated 1 year ago

Commodities Trading with MATLAB by Anshuman Mishra

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

Commodities Trading with MATLAB - Backtesting with varyin...

Commodities Trading with MATLAB - Catch-up strategy acros...

Commodities Trading with MATLAB - Cross Sectional Momentum

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updated 1 year ago

Yahoo Finance Time Series Analysis Tool by Christian Pass

Performs various time series analysis operations (data export, finance, gui)

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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

Trinomial tree seaption pricing by Francesco Paolo Esposito

Swaption pricing function under the Hull-White lattice model. It allows finer grid. (finance)

trintree_swaption_plus_HW(U, Curve, opt_type, model, a, d...

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updated 1 year ago

trinomial tree plot by Francesco Paolo Esposito

This function plots the Hull-White tree structure (finance)

trintree_plot( BKTree )

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updated 1 year ago

Trinomial tree calibration by Francesco Paolo Esposito

This function calibrates the Hull-White trinomial tree. (finance)

trintree_calswaption( Curve, V, Period, coin )

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updated 1 year ago

volatility to premium for swaptions (Black76 model) by Francesco Paolo Esposito

This function convert ATM volatility surface into swaption premiums and par rates. (finance)

vol2par_swaption( curve, V, period )

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updated 1 year ago

Trinomial tree swaption pricing by Francesco Paolo Esposito

This function generates swaption prices under the Hull-White trinomial tree model. (finance)

trintree_swaption_HW(U, Curve, opt_type, model, a)

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updated 1 year ago

Price call and put options using Constant Elasticy of Variance model by Hanan Kavitz

An alternative to using Black and Scholes model is using Constant Elasticity of Variance model. (financial models, black and shcoules, constant elasticity m...)

[call,put]=constantElasticity(S,K,r,T,sigma,q,alpha)

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updated 1 year ago

Black and Shcoles calculator by Hanan Kavitz

Graphical Black and Shcoles calculator for visualizing different sensetives (bls, black and shcoles, gui)

blscalculator(varargin)

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updated almost 2 years ago

Mining Economics with MATLAB by David Willingham

Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices (commodities, mining, economics)

FitNPV(NPV)

cashflow(data,NTrials,SYear)

discounting(data,capex,NTrials,sales,discFactorY,salesb)

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updated almost 2 years ago

Analyzing Investment Strategies with CVaR Portfolio Optimization by Bob Taylor

Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. (finance, portfolio, optimization)

covered_engine(X, T, mu, sigma, ...

gbm_calibration(t0, X, t)

gbm_call_price(X0, K, r0, T, sigma)

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updated almost 2 years ago

Matrix Decomposition by Aleksander

Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex (cholesky, decomposition, correlation matrix)

SpectralDP(Correlation)

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updated almost 2 years ago

Treynor-Black portfolio management model by Ben

Treynor-Black portfolio management model (portfolio management, optimization, active)

[pct_w_pos_opti beta_pos_opti pct_w_active measures_port ...

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updated 2 years ago

SCOPE: interactively tabulate SEER excel variables by Rex Cheung

This takes SEER excel column data interactively, tabulate them, write back in table format. (data import, data export, optimization)

output=xls2tabulate2xls(xlsfilename)

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updated almost 3 years ago

Credit Risk Modeling with MATLAB by Ameya Deoras

These are the supporting MATLAB files for the MathWorks webinar of the same name. (credit risk, transition matrices, var)

...

Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

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updated almost 3 years ago

Improving MATLABĀ® performance when solving financial optimization problems by Jorge Paloschi

Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011, http://www.wilmott.com/magazine.cfm (optimization, finance, symbolic)

OptimizationWithSymbolicToolboxDemo()

vectorize(s)

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updated almost 4 years ago

Financial Seminar Demos by Ameya Deoras

Demos commonly used at The MathWorks financial modeling seminars. (finance, modeling, analysis)

PortVaRmc(nsim)

blsimpv(so,x,r,t,call,maxiter,q,tol)

blsvis(varargin)

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updated almost 4 years ago

Black-Scholes Option Value Web Application - Java/Tomcat by Sachin Nikumbh

This example code demonstrates how to access Java components generated by MATLAB Builder for Java fr (finance, modeling, analysis)

optionvalue(SpotPrice, StrikePrice, RiskFreeRate,TimeExpi...

webvizroutine(SpotPrice, StrikePrice, RiskFreeRate,TimeEx...

mcc_command.m

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updated 4 years ago

Desenvolvimento de Aplicacoes com MATLAB by Elia Matsumoto

Slides and demo files from the webinar "Desenvolvimento de Aplicacoes com MATLAB" (matlab, portuguese, live webinar)

ButterflyValue=Butterflyval(OptionProps)

Butterflysurf(OptionProps)

CelltowerGUI()

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updated 5 years ago

MATLAB no Desenvolvimento de Modelos para Financas by Elia Matsumoto

Slides and demo files using Brazilian market data. (webinar, matlab, financial modeling)

GP(varargin)

GP_Aversao( )

GP_Inic( )

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updated almost 6 years ago

Chinese Matlab Digest: Matlab Technical Bulletin by Hong Zhang

Chinese Matlab Digest is the first matlab digest published in Chinese by www.iLoveMatlab.cn (digest, matlab digest, chinese digest)

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