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updated 12 days ago

Forecasting Realised Volatility of MICEX index by Alexandr Cecetov

Dissertation code for MSc in Financial Economics in City University London (micex, high frequency, realized)

Raw RV of normal and log returns.m

Regression 1 HAR-RV.m

Regression 2 HAR-JC.m

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updated 2 years ago

Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures by Oleg Komarov

My dissertation for the MSc in Finance & Economics from Warwick Business School (dissertation, fex, finance)

bp(h,numout,varargin)

fltmedian(data,volume)

fltout(dates,price,k,mult)

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updated 5 years ago

Algorithmic Trading with MATLAB - 2009 update by Ameya Deoras

M-file scripts and Simulink models from webinar on 28 May 2009 (algorithmic trading, high frequency, market making)

callnnpiter

ema(x,N)

emstd(X,N)

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