Pairs Trading Strategy by tadeveloper

A pairs trading strategy implemented in MATLAB. (arbitrage, finance, backtesting)

MATLAB pairs trading strategy

PairsTradingStrategy(sys)

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

FX Forward by Vilen Abramov

This file replicates cross-currency forward pricing using covered interest parity (CIP) (forex, forward, arbitrage)

fxforward

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)

Simulate a Cox-Ingersoll-Ross process by Dimitri Shvorob

(Exact algorithm) (cox ingersoll ross ci..., analysis, modeling)

CIRPATHDEMO

cirpath(t,a,b,s,r0)

Model a mortgage-backed security by Dimitri Shvorob

(Application of CFEVAL) (finance, modeling, analysis)

CFEVALDEMO2

Evaluate debt instrument's cash flows by Dimitri Shvorob

(given their symbolic definition) (finance, modeling, analysis)

CFEVALDEMO1

cfeval(pofun,cpfun,psfun,ppfun,varargin)

Mean-variance portfolio optimization using GA and PATTERNSEARCH by Dimitri Shvorob

(A not-too-serious experiment / code sample) (finance, analysis, modeling)

Mean-variance portfolio optimization using GA and PATTERNSE...

util(Wts)