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updated 18 days ago

Natural Gas Storage Valuation by Ameya Deoras

Demos and files from the webinar (energy trading, energy risk, commodities)

Import Analyze Natural Gas Futures Options Historical P...

Natural Gas Storage Valuation: 2. Intrinsic Spread-Optio...

Natural Gas Storage Valuation: 3. Model Calibration and V...

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updated 4 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 10 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


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updated 11 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 ...)


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updated 11 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)


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updated 1 year ago

Algorithmic Trading with Bloomberg EMSX and MATLAB by Nicole Wilson

Files used in the webinar which can be viewed at (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...)


compareWeights( ExcessHistoricalReturns, ExcessImpliedRet...


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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...)


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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)


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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)




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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)


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updated 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)


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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)




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updated 3 years ago

Approaches to implementing Monte Carlo methods in MATLAB by sri

Code for the article in the September 2011 article (wilmott, monte carlo, parallel computing)




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updated 3 years ago

Using MATLAB to Optimize Portfolios with Financial Toolbox by Bob Taylor

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




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updated almost 4 years ago

Portfolio Optimizer Tool by Patric Schenk

Portfolio Optimizer Tool (data import, finance, gui)




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updated almost 4 years ago

Algorithmic Trading with MATLAB - 2010 by Stuart Kozola

Files from the November 18, 2010 webinar. (algorithmic trading, trading, moving average)

Algorithmic Trading with MATLAB®: Evolutionary Learning

Algorithmic Trading with MATLAB®: More Signals

Algorithmic Trading with MATLAB®: Moving Average and RSI

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updated almost 4 years ago

Efficient Frontier GUI by Ameya Deoras

Efficient frontier from Yahoo or database data. (finance, modeling, analysis)



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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)




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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...


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updated almost 4 years ago

Pricing Derivatives Securities using MATLAB by Mayeda Reyes-Kattar

Examples of pricing derivatives securities using MATLAB (finance, modeling, analysis)

optionvanilla(S,E,r,T,sigma,divYield,nSims,nSteps,type, s...


treedemonew(Command, Trees,Port,RS)

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updated 4 years ago

FinMetrics by Vitaly Kuznetsov

Open source/open architecture quantitative portfolio management environment. (finance, investments, portfolio management)




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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)




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updated almost 5 years ago

Using MATLAB to Develop Macroeconomic Models by Bob Taylor

Analyze a stylized version of the Smets-Wouters model for the United States economy. (econometrics, macroeconomics, time series analysis)

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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_Aversao( )

GP_Inic( )

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updated almost 6 years ago

Developing a Financial Market Index Tracker using MATLAB OOP and Genetic Algorithms by Mark Hoyle

Files used in the webinar of the same name (finance, modeling, analysis)




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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 (digest, matlab digest, chinese digest)

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updated 6 years ago

Simple option pricing GUI by Ameya Deoras

A GUI that presents the results of a Black-Scholes and a Monte Carlo European option pricer (finance, modeling, analysis)

optPriceVal(type, Price, Strike, Rate, Time, Vol, Yield, ...


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updated 6 years ago

Monte Carlo simulations using MATLAB by Vincent Leclercq

Demonstrations of Monte Carlo simulations in MATLAB (finance, modeling, analysis)




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updated almost 7 years ago

MathWorks Webinar: Using Genetic Algorithms in Financial Applications by Oren Rosen

Presentation and M-Files for MathWorks Webinar (finance, modeling, analysis)




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updated almost 8 years ago

Using MATLAB to Develop Asset-Pricing Models by Bob Taylor

Scripts to build and test Fama & French three-factor model. (finance, modeling, analysis)




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updated 8 years ago

Interactive Efficient Frontier Viewer by Paul Taylor

Efficient Frontier Viewer using nested functions (finance, modeling, analysis)


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