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)

GetCov(x, y)

LnTestofSims(mySims, LastFC, volFN, Factors)

MultiFactorForwardCurveSimulator(nSims, Seed, historicalFor...

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)

quadratic equation interpolation by Sherif Omran

assume you have a quadratic equation y=ax^2+bx+c.This script determines a, b , c (s, mathematics, measurement)

[a,b,c]=Quadratic(x,y)

Loan Calculator by Paul Metcalf

This loan calculator tool performs interest calculations for fixed rate loans. (finance, simulink, optimization)

loan_optimization

N-Dimensional Trapezoidal integral by Mohammed Sadeq Al-Rawi

See title. (communications, biotech, image processing)

trapezoidal_rule_nd_integral(x, mat, N)

Cuckoo Search (CS) Algorithm by Xin-She Yang

A standard Cuckoo Search is implemented, which is very efficient. There are three versions now. (levy flights implemen..., optimization, natureinspired algori...)

[bestnest,fmin]=cuckoo_search(n)

[bestnest,fmin]=cuckoo_search_new(n)

[bestsol,fval]=cuckoo_search_spring(time)

Trapezoidal Integration by Aravazhi Anbarasu

Simple and intuitive numerical integration based on trapezoidal rule. (data import, data export, control design)

int_trapz(X,Ts)

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)

Matrix Decomposition by Aleksander

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

SpectralDP(Correlation)

Linear regression with statistics for multiple category data by Soumya Banerjee

This function does linear regression with statistics for multiple category data (OLS and RMA) (aerospace, automotive, biotech)

regress_plot_twocategories

Generating correlation matrices based on the boundaries of their coefficients. by Kawee Numpacharoen

Correlation can be generated using uniform random variable distribution within the boundaries. (statistics, simulation, mathematics)

[C,p]=RandomCorr(n,K)

Fit all valid parametric probability distributions to data by Mike Sheppard

ALLFITDIST Fit all valid parametric probability distributions to data. (simulation, statistics, finance)

allfitdist(data,sortby,varargin)

Hunt For Local Maxima, Minima, Plateau by Michael Chan

Illustrates identification of local maxima, minima or plateau, for exit criteria for long processes. (bioinformatics, image processing, intensive)

benchmarkSampleFunction (thresholdInitial_Trial)

determineLocationsOfMaximaMinimaPlateauFromProclivityFeatur...

determineProclivity( currentInput, previousInput )

A very simple random integer generator using rand(). by sunil anandatheertha

A very simple random integer generator using rand(). (aerospace, mathematics, statistics)

randint(i1,i2)

Weighted Data Binning [wbin] by Michael Lindholm Nielsen

Weighted data binning. (weighted data binning, data binning, time series)

wbin(X, Y, E, DX)

Random Number Generation by Aamir Alaud-din

Random integers (positive as well as negative) can be generated. (demo, finance, mathematics)

rng(ll,ul,m,n)

Shuffle Numbers by Aamir Alaud-din

Shuffles numbers in a given matrix or vector (statistics, finance, mathematics)

shuffle(X)

Best Fit Legend by rasam aliazizi

the best tool for signal processing, of a section of your data. (communications, control design, data export)

BestFitInfo(varargin)

Equation(polyCoeff, x, y)

GetMousePosition(varargin)

A Jacobi Auction Algorithm Implementation (simple) by Pieter Reyneke

As introduced by Vickery (1961), Bertsekas (1979) refined by Demange, Gale, Sotomayor (1980's). (aerospace, image processing, mathematics)

auction( w, iter, e, verbose )

Generate [file/folder/any] name based on current time by sunil anandatheertha

Generate [file/folder] name based on current time. Useful for some automated folder/file creation. (aerospace, data export, automotive)

genFilename()

Matlab Monte Carlo Demo on Advanced Statistical Estimation of Variance and Standard Deviation by Amitava Biswas

Matlab Monte Carlo Demo on Advanced Statistical Estimation of Variance and Standard Deviation (aerospace, automotive, biotech)

biswas48.m

Fast & Detailed Multivariate OLS Regression by Léon

Performs a fast multivariate OLS regression and gives detailed information at your fingertips (statistics, finance, mathematics)

aic.m

ci1.m

ci2.m

Improving MATLAB® 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)

Simulated Annealing Optimization by Héctor Corte

This program performs simulated annealing otimization on functions of R^n in R. (annealing, physics, simulation)

sim_anl.m

Kruskal Wallis statistics calculation for equal data by Sherif Omran

This code calculates the Kruskal Wallis statistics given for 2 datasets with equal length > 5 (finance, measurement, mathematics)

H=Kruskal_Wallis_V2(a,b)

Exercises in Advanced Risk and Portfolio Management by Attilio Meucci

text and comments on solutions available at http://symmys.com/node/170 (finance, portfolio management, optimization)

BlackScholesCall(spot,K,r,vol,T)

BlackScholesCall(spot,K,r,vol,T)

ChoiceOptimal(Market,InvestorProfile)

Using MATLAB to Optimize Portfolios with Financial Toolbox by Bob Taylor

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

part1_plot(varargin)

PortfolioDemo

part1_intro.m

Trend-Duration-Frequency by Agne Burauskaite-Harju

Test for trends in extreme values of data for several quantiles and data resolutions (statistics, mathematics, signal processing)

LegendreShiftPoly(n)

[GPD_param1, GPD_param2, GPD_quantiles, quantiles, sums]=GP...

[correct, begining_date_num, end_date_num]=input_correct(da...

Window cross-similarity by Agne Burauskaite-Harju

Time series window cross-similarity (statistics, mathematics, signal processing)

w_sim=window_cross_sim(data1, data2, t, w)

Cosine cross-similarity by Agne Burauskaite-Harju

Time series cosine cross-similarity, dominant lag ans maximum value (statistics, mathematics, signal processing)

[k, d_lag, max_sim]=cos_cross_sim(data1, data2, t, maxlag, ...

In sample Value at Risk and backtesting with the Pearson type IV distribution by Stavros Stavroyiannis

Garch(1,1) model with Pearson type IV distribution innovations and Value at Risk backtesting (christoffersen, finance, garch)

results=varinPIV(data)

In sample value at risk and backtesting by Stavros Stavroyiannis

Garch model with Gaussian distribution and Value at Risk in sample backtesting. (kupiec, garch, finance)

results=varin(data)

n-person game by Bapi Chatterjee

The function npg solves an n-person finite non-co-operative game to compute one Nash Equilibrium. (matrix game, nperson game, non co operative game)

gamer(n,Us,p,I,s,ub,lb,x0,Aeq,beq,pay,U)

npg(M,U)

Nyquist Plot. by satendra kumar

More effective and interactive Nyquist plot Function (matlab, nyquist, polar plot)

lnyquist1(a,b,c,d,iu,w)

Portfolio Optimizer Tool by Patric Schenk

Portfolio Optimizer Tool (data import, gui, finance)

portfoliotool(varargin)

ExcelReport

Portfolio

Engineering Optimization: An Introduction with Metaheuristic Applications by Xin-She Yang

PSO, Firefly Algorithm (control design, finance, mathematics)

B7_pressure

[best]=B3_pso(n,Num_iterations)

[best]=B5_firefly(instr)

Modeling & Predicting stock prices with volatility analysis by Karan Mendiratta

Ito's Lemma, Heteroskedasticity (GARCH) model, Brownian Motion (finance, mathematics)

StockPred.m

Local Regression 2D by Arnout Tilgenkamp

Local Regression for 2D Data with plot/figure (finance, regression, local regression)

[y0]=MLR(X,y,span,X0,robuust)

Speeding Up Optimization Problems with Parallel Computing by Stuart Kozola

Files from the webinar: Speeding up optimization problems with parallel computing (aerospace, automotive, demo)

Electron Problem Optimization

First Order Reliability Method using a Simulink Flutter Mod...

computebestportfolioPCT(expRet,expCov,portSize,targetRet)

UK Power Value Neutral hedge by Ahmos Sansom

Example of a value neutral hedge for the UK power (electricity) markets. (optimization, mathematics, finance)

HedgeMinNightBaseFunction(x, TotalPrice, BasePrice, NightPr...

HedgeMinNightPeakBaseFunction(x, TotalPrice, BasePrice, Pea...

HedgeMinPeakBaseFunction(x, TotalPrice, BasePrice, PeakPric...

Term Structure of Volatility Calibration by Ahmos Sansom

Derives term structure parameters used in Commodity pricing (mathematics, finance, optimization)

ReturnsLFMin(x,returns,t,TermType)

TermFunMin(x,t,LocalVol,TermType)

sigma=TermFun(x,t,TermType)

Clewlow and Strickland Commodity one factor spot model by Ahmos Sansom

Commodity one factor spot price model (finance, mathematics)

ClewlowStrickland_1FactorMC_Daily(nSims, Seed, FC, nDays, c...

ClewlowStrickland_1FactorMC_DailyInterp(nSims, Seed, FC, nD...

DescriptStats(InData)

My Cubic Splines by Avinash Bhat

The programs are supported with enough documentation. The user needs to go through README first. (measurement, optimization, mathematics)

components( h, n, y )

gen_n_solve( n, x, d, b )

my_splines( N )

Salvaging a Linear Correlation Matrix by Ahmos Sansom

Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods (finance, mathematics)

HypersphereDecomp(InMat, Tol, minOption)

SpectralDecomp(InMat)

CorrelationExample.m

Cheque Number Reader by Niraj Meegama

The program will read the scanned image of the bank cheque and read the cheque number (image processing, matrix, finance)

cutCheque.m

Maximum Cardinality matching by Leon Peshkin

constructs a (non-weighted) maximum cardinality matching (mcm maximum cardinali..., graphs, maximal cardinality)

card_match(adj2);

DFP quasi Newton method by Bapi Chatterjee

It solves an optimization problem by DFP quasi Newton method. (quasi newton, convex, unconstrained)

quasi_newton_dfp.m

Steepest descent method by Bapi Chatterjee

It solves an optimization problem by steepest descent method. (steepest descent, convex, minimization)

steepestdescent.m

convexchecker by Bapi Chatterjee

It checks real valued multidimensional function, whether it is convex. (optimization, finance, convex)

convexchecker.m

setdiff by Nick

Set difference of two sets of positive integers (much faster than built-in setdiff) (finance, mathematics, optimization)

my_setdiff(A,B)