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updated 3 hours ago

Plotly | Online MATLAB Graphing by Chris

Publish your MATLAB figures to the web with one line of code. (plot, data export, gui)

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updated 8 days ago

Portfolio DiversiĀ…cation Based on Optimized Uncorrelated Factors by Attilio Meucci

Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution (portfolio management, risk management, marginal risk contrib...)

EffectiveBets(b, Sigma, t)

torsion(Sigma, model, method, max_niter)

S_MainDiversification.m

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updated 13 days ago

Numeric to English Words by Stephen Cobeldick

Convert a numeric scalar to a string giving the English name of the number value (GB/US). (dialect, words, number names)

num2words(num,opts)

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updated 19 days ago

ISO 8601 Date String to Serial Date Number by Stephen Cobeldick

Convert an ISO 8601 Date String to Serial Date Numbers. Auto-detect or select the timestamp style. (calendar date, date, iso 8601)

datenum8601(Str,Tok)

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updated 19 days ago

Date Vector/Number to ISO 8601 Date String by Stephen Cobeldick

Convert a Date Vector/Number to an ISO 8601 Date String. Tokens control the date/time notation. (date, timestamp, iso 8601)

datestr8601(DVN,varargin)

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updated 1 month ago

Get stock option chains by ted p teng

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

getOptionChainYQL(tickers)

getOptionChainYQLExample.m

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updated 3 months ago

FYP1.m by Imran Hayder

Matlab GUI based waveform generator- generates waveforms like sine, cos, pwm, etc with desired param (waveform, generator, signal processing)

FYP1(varargin)

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updated 3 months ago

Quandl API Access by Ray

Access and download data from the Quandl database from inside the MATLAB console. (data import, finance, statistics)

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updated 4 months ago

cusip2isin.m by Guillaume Nolin

This function converts 9-digit CUSIPs into 12-digit ISIN codes (finance, security identifiers, isin)

cusip2isin(country,cusip)

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updated 4 months ago

Arbitrage-Free Smoothing of the Implied Volatility Surface by Philipp Rindler

Function to smooth call option prices and implied volatilities free of static arbitrage. (implied volatility, option pricing, finance)

Arbitrage-free Smoothing of the Implied Volatility Surface

...

evaluateSpline(u, tau, g, gamma, close, strike, ...

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updated 5 months ago

BTC-e trade api by wout

This BTC-e trade api can be used to automatically trade on btc-e using their api. (btce, sha512, data export)

ActiveOrders(varargin)

CancelOrder(varargin)

GetInfo()

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updated 5 months ago

Rolling Window FIGARCH Forecast by Sarunas Girdenas

This code uses rolling window FIGARCH model estimates to compute forecasts. (figarch, finance, econometricstimeserie...)

figarch_forecast(filename1,filename2)

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updated 6 months ago

Portfolio Optimization by Reza Rahemi

Generic risk management and analysis tool for asset allocation. Automatic data import using internet (finance, portfolio, track)

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updated 7 months ago

Semideviation by Abdulaziz Alhouti

Estimates the downside and upside deviations (finance, investment, statistics)

[LowerSTD UpperSTD]=semistd(x)

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updated 8 months ago

Download Daily Data from Google and Yahoo! Finance by Michael Weidman

Provides functions for getting data from both data sources as well as helper utility functions (finance, google finance, stock prices)

calculateAdjustedClose(closeDates, closePrices, dividendD...

convertGoogleToYahooTickers( googleTickers )

convertGoogleToYahooTickers( googleTickers )

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updated 8 months ago

Get continuous live Option Prices from yahoo finance by Haidar Haidar

This code connect to Yahoo finance and download live continuous call and put option prices (download, options, download live option ...)

[C,T]=Tri_C(P_Mins,OPEN,L_MRKT)

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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

ARMA MODEL by Wilson Amoretty Palmeiro

This type of model help us to predict the share price (finance)

ARMA.m

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updated 8 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 9 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 9 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

Adaptive Arrival Price by Julian Lorenz

Efficient frontier of single update arrival price model (finance, optimization, mathematics)

EV(k0, k, mu, t, I)

OptimizeSingleUpdate(I, kstatic, mu, t)

arrivalprice_singleupdate.m

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updated 10 months ago

Metastockread by Oleg Komarov

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

metastockread(fullpath)

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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)

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

Algorithmic Trading with MATLAB: Intraday trading

Bloomberg EMSX API: Simple Examples

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updated 11 months ago

South African Public Holidays by Nicole Wilson

Returns dates corresponding to non-trading days for the Johannesburg Stock Exchange in South Africa (finance, dates, function)

holidaysRSA(varargin)

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updated 11 months ago

Realtime trading with Matlab presentation files by Yair Altman

Realtime trading demo & presentation, presented at NYC Computational Finance Conference 23 May 2013 (finance, gui, data import)

findjobj(container,varargin)

tradingDemo

uisplitpane(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 11 months ago

Create a 3-Way array from excel files by Aamir Alaud Din

The program reads data from excel files and writes a three way data array (biotech, communications, finance)

prepare4mXLSX

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updated 12 months ago

Trim leading/trailing repeated values by Oleg Komarov

Numeric vector/2D matrix. Trims leading, trailing or both sides; operates columnwise or row-wise. (trim, repeated, leading)

trimRepLT(In,dim,mode)

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updated 1 year ago

Auto-Correlation, Partial Auto-Correlation, Cross Correlation and Partial Cross Correlation Function by Adel Fazel

This allows evaluation of ACC, PACC, CCF, PCCF as the function of lags. (system identification, modeling, finance)

AutoCorrelationF( X,m )

CrossCorrelationCal(Cause,Effect,LagMax)

PartialAutoCorrelationF( InputSeries,m,Lag )

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updated 1 year ago

Random arrays from the left truncated normal distribution. by Mike Sheppard

Random arrays from the left truncated normal distribution. (simulation, statistics, finance)

tnormrnd(mu,sigma,c,varargin)

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updated 1 year ago

Pluto & Tasche Upper Bound PD Model for Low Default Portfolios by Alexandros Gabrielsen

Estimation of the Pluto & Tasche Upper Bound PD along with Benjamin, Cathcart Ryan Statistic. (credit, finance, low default portfolio...)

binom_cum (n,p,i) ;

errorpt(pd, n, i, theta, rho, T, Conf, N)

plutotascheportfolio(Obligors, Defaults, theta, rho, T, C...

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updated 1 year ago

Monte Carlo Simulation for Portfolio Assets by Wilson Amoretty Palmeiro

Simulate sample path allow us to see the pattern that assets price will face. Crucial to hedge risk. (monte carlo simulatio..., finance, statistics)

PortfolioMontecarlo.m

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updated 1 year ago

Rounding Functions Collection by Stephen Cobeldick

All the rounding functions you will ever need: round to even, significant figures, decimal places... (rounding, numeric, data)

round2dn(X)

round2dp(X,DcP,FnH)

round2ev(X)

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updated 1 year ago

Modeling Yield Curve With Nelson & Siegel by Wilson Amoretty Palmeiro

We try to modeling a DE data 2013. (nelsonsiegel, yield curve, finance)

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updated 1 year ago

Fast Matrixwise Black-Scholes Implied Volatility by Mark Whirdy

Calculates Black-Scholes Implied Volatility for Full Surface at High Speed (blackscholes, impliedvolatility, impvol)

calcBSImpVol(cp,P,S,K,T,r,q)

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updated 1 year ago

Previous Working Day by Jennifer GALPERIN

Retrieves the previous working day for a given date and holiday schedule. (trading, options, dates)

previousWorkday( hDate,holidaySchedule )

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updated 1 year ago

Options Expiration Friday Date Calculator by Jennifer GALPERIN

Calculates the date in a given month that options will expire (Friday). (finance, trading, options)

getExpiryFri( month )

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updated 1 year ago

Historical Earnings Data by Ticker Symbol by Jennifer GALPERIN

This function gets historical company earnings data for a particular ticker symbol. (finance, stock, earnings)

scrapeEarningsZacks( Stock )

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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

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 1 year ago

The Bullwhip effect simulated in Matlab Environment by Steve

A simulated script that allow anyone to understand the bullwhip effect through a basic supply chain. (finance, simulation, modelling)

BullWhip_effect.m

rules.m

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updated 1 year ago

TSM-simulation by Anders

A strategy simulation of time-series price momentum. (finance)

Hypothesis testing the momentum anomaly.m

TSM-simulation.m

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updated 1 year ago

Merton Jump Diffusion Option Price (Matrixwise) by Mark Whirdy

Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface (merton, options, finance)

calcMJDOptionPrice(cp,S,K,T,sigma,r,q,lambda,a,b,n)

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updated 1 year ago

Technical Indicators by Nate Jensen

A single function that calculates 27 different technical indicators (finance, analysis, modeling)

indicators(vin,mode,varargin)

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updated 1 year ago

Merton Structural Credit Model (Matrixwise Solver) by Mark Whirdy

Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery (credit, merton, structural credit mod...)

calcMertonModel(E_t,sig_E,K,t,T,r)

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updated 1 year ago

Navigating curves by sri

Developing Scenario Analysis Applications using Interest Rate Curve Objects in MATLAB (finance, interest rate curves, simulation)

getNewNelsonsiegelParams(oldParams, t)

getNewNelsonsiegelParamsN(oldParams, t,n)

getNewZeroRates( NSModel,params,PlottingDates )

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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

One Rank Cuckoo Search (ORCS) algorithm by Ahmed Tawfik

An improved cuckoo search optimization algorithm. Well competent and easy to use. (algorithms, cuckoo search, evolutionary algorith...)

...

Ackley(x)

Griewank(x)

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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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