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updated 15 days 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 11 months 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 5 years ago

Risk and Asset Allocation by Attilio Meucci

Software for quantitative portfolio and risk management (finance, modeling, analysis)

...

Addition(x,y);

Adendotd(dense, d, sparAd, Ablk, blkstart)

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updated 3 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 6 years ago

Monte Carlo simulations using MATLAB by Vincent Leclercq

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

BlsHalton(S0,X,r,T,sigma,NPoints)

BlsMC(S0,X,r,T,sigma,NRepl)

BlsMCAV(S0,X,r,T,sigma,NRepl)

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updated 1 year ago

Regime Switching Model with Time Varying Transition Probabilities by Zhuanxin Ding

Code for estimating a Markov Regime Switching Model with time varying transition probabilities. (statistics, econometrics and stat...)

[Simul_Out]=MS_Regress_Sim(nr,Coeff,k,distrib)

[Spec_Out]=param2spec_tvtp(param,Spec_Tag,constCoeff,type...

[Spec_Output]=MS_Regress_Fit_tvtp(dep,indep,px,k,S,advOpt)

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updated 8 months ago

Natural Gas Storage Optimization & Intrinsic Valuation by Ameya Deoras

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

Intrinsic Storage Optimization

Natural Gas Storage Optimization & Intrinsic Valuation

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

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updated almost 3 years ago

Toolkit on Econometrics and Economics Teaching by Hang Qian

Many MATLAB routines related to econometrics, statistics and introductory economics teaching. (econometrics, bayesian statistics, economic diagrams)

ADAPT_REJECT_SAMPLE.m

AGGREGATE_GIBBS1.m

AGGREGATE_ML1.m

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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)

part1_plot(varargin)

PortfolioDemo

part1_intro.m

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updated 3 years ago

Portfolio Optimizer Tool by Patric Schenk

Portfolio Optimizer Tool (data import, finance, gui)

portfoliotool(varargin)

ExcelReport

Portfolio

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updated 2 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 3 years ago

Dynamic Copula Toolbox 3.0 by Manthos Vogiatzoglou

Functions to estimate copula GARCH and copula Vine models. (dependence, garch, copula vines)

ARMAeq(theta, data, spec)

CopulaGARCHLogL(theta,data,spec,solver)

CopulaToolboxTutorial

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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 3 years ago

Fitting with MATLAB: Statistics, Optimization, and Curve Fitting by Richard Willey

Demo code and data for the "Fitting with MATLAB" webinar (poisson regression, logistic regression, orthogonal regression)

evalTumorWeight(t , p)

objFcn(p , tObs, drug)

CensoredData.m

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updated 11 months ago

International Space station live track by Sherif

Tracking the internation space station at any time (aerospace, mathematics, orbital mechanics)

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updated 2 months ago

FEMcali May2014 by Thomas Abrahamsson

An App for calibration and validation of structural dynamics finite element models (calibration, validation, structural dynamics)

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updated 7 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 6 months ago

Chaos test by Ahmed Ben Saïda

A test for chaotic dynamics of a noisy time series based on the Lyapunov exponent. (chaos, lyapunov exponent, bifurcation)

chaosfn(Theta, X, L, m, q, ActiveFN)

chaostest.m

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updated 10 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 almost 2 years ago

Surrogate Model Optimization Toolbox by Julie

Surrogate model optimization algorithm for computationally expensive global optimization problems (global optimization, surrogate model, derivativefree)

BumpinessMinSampling(Data, maxeval, Surrogate, lambda, ga...

CandValue=PredictFunctionValues(Data,Surrogate,CandPoint,...

CandidatePointSampling(Data,maxeval,Surrogate,lambda,gamm...

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updated 8 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 1 year 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 7 days ago

UVC Suite by James Kerns

The Ultraviolet Catastrophe suite (UVCS) is a package that perform a number of TG-142 related tasks. (medical physics, mlc, quality assurance)

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updated 6 years ago

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

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

ComputeBestPortfolio(expRet,expCov,portSize,targetRet)

ComputeHistoricalStats(prices)

FindTarget(target)

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updated 5 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)

CreateIndex(NumDays,NumStocks,TotalNumStocks,L,K,s,t)

GetGAData(Wts,Stocks,Dates,StartDate)

InitialiseSession

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updated 8 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 3 months ago

RGDS_Practical_Guide by Daniel/Ronald

MATLAB routines for the book: "Development of Innovative Drugs via Modeling with MATLAB". (simulation, pharmaceutical, simulink)

AUC

CTSbasics.m

DDEconst

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updated 1 year 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 7 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 3 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 3 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...

portbrowser(varargin)

treedemonew(Command, Trees,Port,RS)

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updated almost 2 years ago

Fit distributions to censored data by Leonidas Bantis

Fits distributions to data when left and/or right and/or interval censoring is present (distribution, fit, censoring)

evfitc.m

expfitc.m

gamfitc.m

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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 3 months ago

OptiGear by Gaurav Gupta

MATLAB app for Gear analysis and design (optimization, gear)

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updated 6 years ago

Sampling from multivariate correlated binary and poisson random variables by Philipp Berens

These Matlab functions can be used to generate multivariate correlated binary variables, and correl

DGAnyMarginal(pmfs,Sigma,supports,Nsamples)

EstimateDiscreteJoint(A)

PoissonMarginals(means,acc)

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updated almost 5 years ago

Automated Failure Boundary Mapping by Stuart Kozola

Demo files from July 21, 2009 webinar (statistics, optimization, clustering)

Failure Boundary Identification

Flutter Model Demo

boundaryArea(Y,X,lb,ub,limitFunction)

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updated 1 year 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

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 1 year ago

Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator by Ahmos Sansom

Implementation of the Multi-Factor multi commodity forward curve simulator (finance, mathematics, optimization)

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updated almost 2 years ago

Accelerated Failure Time (AFT) models by Leonidas Bantis

Fits accelerated failure time models in the presence of right and/or left censoring. (accelerated failure t..., aft, survival analysis)

[pars covpars SE CI Zscores pvalues gval exitflag hess fm...

[pars covpars SE CI Zscores pvalues gval exitflag hess fm...

[pars covpars SE CI Zscores pvalues gval exitflag hess fm...

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updated 3 years ago

Efficient Frontier GUI by Ameya Deoras

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

dfdb_port_opt(varargin)

cleanMe.m

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updated almost 5 years ago

Dynamic Copula Toolbox 2.0 by Manthos Vogiatzoglou

functions to estimates various copula models via MLE (copula garch, copula vines, gaussian copula graph...)

CopulaSpec=setCopulaLLinputs(dimension)

CopulaSpec=setCopulaVineLLinputs(dimension)

CopulaToolboxTutorial

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updated 3 years ago

LinStats by Michael Boedigheimer

Statistical analysis (ANOVA,…) and plotting of fixed and mixed effects models using modern methods (statistics, gui, optimization)

blkrepmat( type, c, q )

center(X, V, dim)

coeff2eqn( coeffs, var_names, skipzeros, parens )

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updated 5 years ago

Dynamic Copula Toolbox version 1 by Manthos Vogiatzoglou

Estimation and simulation of Copula - GARCH and Copula Vines (copulas, vines, dynamic dependence)

CompositeLLNCopula(theta,data,corrspec,optimizer,method)

CompositeLLTCopula(theta,data,corrspec,optimizer,method)

LTriangmat2vec=vecl(x)

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updated 4 years ago

Non-linear regression GUI by Pablo Marín

This GUI solves model-based non-linear regression problems of the univariate and multivariate form. (statistics, optimization)

nlinreg(varargin)

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updated 11 years ago

advstat by Arthur Jutan

Adds some additional capabilities to the Stats TB (statistics, probability, estimation)

CURVEFITEG1

[b0,b,B]=leasrsm(x,type)

[std,varresid,r2,cor,vcv,varinf]=regdata(param,yfit,ydata...

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updated almost 8 years ago

Improving an Engine Cooling Fan Using Design for Six Sigma Technique by Stuart Kozola

Demo files from MATLAB Digest Article "Improving an Engine Cooling Fan Using Design for Six Sigma Te (statistics, probability, six sigma)

Improving an Engine Cooling Fan Using Design for Six Sigm...

coded2real(z,bounds)

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updated 2 months ago

Markov_Copula_code.zip by Osvaldo Silva Filho

Markov Switching Copula Model (markov switching, copulas, dependence dynamics)

Clayton_tvp1_CL(theta,data,kappabar)

bivt_tvp1_CL(theta,Zdata,rhobar)

markovclayton_LLF(kappa,data,thetabar)

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updated 5 years ago

Using MATLAB(R) and the Statistics ToolboxTM for Design for Six Sigma (DFSS) by Dan Doherty

M-files used in the webinar held on November 2, 2005 (statistics, probability, design for six sigma)

x=coded2real(z,bounds)

Fandemo.m

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updated 6 years ago

Reliable and Roubst Design by Stuart Kozola

MATLAB Code used in the Jan 2008 Digest Article (optimization, realiability, robust design)

cumprobPlot(cost)

myCostFcn(x,simParms)

myCostFcnRR(x,simParms)

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