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updated 1 month 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 month 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)

GetCov(x, y)

LnTestofSims(mySims, LastFC, volFN, Factors)

MultiFactorForwardCurveSimulator(nSims, Seed, historicalF...

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updated 7 months 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 9 months ago

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)

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updated almost 2 years ago

Log Density Plot by VASILIS PAPPAS

This program accepts a vector of stock market prices and calculates the Log density plot. (logdensity, pdf, finance)

log_density_v2.m

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updated almost 2 years ago

Approaches to implementing Monte Carlo methods in MATLAB by sri

Code for the article in the September 2011 article http://www.wilmott.com/magazine.cfm (monte carlo, parallel computing, wilmott)

PriceArithmeticAsianOption(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionFin(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionPCT(S0,X,r,T,sigma,NSteps,NPaths)

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updated almost 3 years ago

Modeling & Predicting stock prices with volatility analysis by Karan Mendiratta

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

StockPred.m

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updated 3 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, forecasting, econometrics toolbox)

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