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updated 5 years ago

Order book simulation by Dimitri Shvorob

(a naive artificial stock market) (order book exchange c...)

CharKeyHashtable

DataVendor

Exchange

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updated 5 years ago

The Object of My Callback by Dimitri Shvorob

(object references with Matlab timers) (timer callback object..., oop)

CharKeyHashtable

Widget

CallbackDemo.m

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updated 5 years ago

Queue by Dimitri Shvorob

(A simple implementation) (queue priority collec...)

BlueWidget

PQueue

Queue

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updated almost 6 years ago

Merge matrices by Dimitri Shvorob

(in a SQL equijoin) (matrices, join, merge)

joinmat(x,y,type)

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updated almost 6 years ago

Merge dataset arrays by Dimitri Shvorob

(in a SQL equijoin) (structures, cell arrays, dataset)

joindst(x,y,type,varargin)

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updated almost 6 years ago

Use a hash table by Dimitri Shvorob

(Java class wrapper) (structures, cell arrays, hash)

Hashtable

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updated almost 6 years ago

Find repeated m-file names by Dimitri Shvorob

(in a directory tree) (path, directories, files)

namesakes(path)

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updated almost 6 years ago

Reshape a matrix by Dimitri Shvorob

(pivot and unpivot) (matrices, long, tall)

tall2wide(a,r,c)

wide2tall(A,varargin)

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updated 6 years ago

Find 'orphaned' m-files by Dimitri Shvorob

(in a directory tree) (path, directories, files)

orphans(varargin)

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updated 6 years ago

Collate m-files by Dimitri Shvorob

(in a directory tree) (path, directories, files)

collate(path,file)

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updated 6 years ago

Extract text from a PDF document by Dimitri Shvorob

(if you are lucky) (data import, data export, adobe acrobat)

pdfParseDemo.m

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updated 6 years ago

A non-engineer tinkers with Simulink by Dimitri Shvorob

(and has got models to prove it! :)) (simulation, simulink sample examp..., potw)

Model1

Model2

Model3

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updated 6 years ago

A baby trading system by Dimitri Shvorob

(No, we don't trade babies!) (finance, modeling, analysis)

tradebot

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updated 6 years ago

Visualize dynamic hedging by Dimitri Shvorob

(via an interactive GUI) (finance, modeling, analysis)

blscallprice(S,K,r,t,sigma)

blsputprice(S,K,r,t,sigma)

hedgedemo

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updated 6 years ago

Tinker with Excel Link by Dimitri Shvorob

(a one-page cheat sheet) (whitepaper, article, paper)

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updated 6 years ago

Evaluate Nelson-Siegel function by Dimitri Shvorob

(or fit one to a yield curve) (finance, modeling, analysis)

nelsonfit(x,y)

nelsonfun(x,par)

nelsondemo.m

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updated 6 years ago

Devise a bond maturity strategy by Dimitri Shvorob

(via an interactive GUI) (finance, modeling, analysis)

bondito

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updated 6 years ago

Simulate a Hawkes process by Dimitri Shvorob

(and visualize it) (statistics, probability, hawkes intensity poin...)

HAWKESDEMO: Simulate and visualize a Hawkes process

inthawkesm(m,t,H,par)

showhawkesm(m,t,H,par)

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updated 6 years ago

Access a MySQL database by Dimitri Shvorob

(with mym.m) (data import, data export, mysql mym database)

MYDEMO: Demonstrate usage of mym utilities

dbadd(dbname)

dbcurr

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updated 6 years ago

A week on File Exchange by Dimitri Shvorob

(reduced to download statistics) (gallery, silly time waste, file exchange)

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updated 6 years ago

Analyze FEX download data by Dimitri Shvorob

(with the aid of MySQL) (gallery, sql database, mysql)

prepplot(t,x)

examineDownloadData.m

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updated 6 years ago

Visualize payoffs of an option strategy by Dimitri Shvorob

(via an interactive GUI) (finance, modeling, analysis)

butterfly

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updated almost 7 years ago

Simulate a Cox-Ingersoll-Ross process by Dimitri Shvorob

(Exact algorithm) (finance, modeling, analysis)

CIRPATHDEMO

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

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updated almost 7 years ago

Model a mortgage-backed security by Dimitri Shvorob

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

CFEVALDEMO2

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updated almost 7 years ago

Evaluate debt instrument's cash flows by Dimitri Shvorob

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

CFEVALDEMO1

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

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updated almost 7 years ago

Visualize sparsity pattern by Dimitri Shvorob

(SPY in style) (specialized, plotting, spy)

SPYDEMO

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updated almost 7 years ago

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

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

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

util(Wts)

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updated almost 7 years ago

Import data from SAS by Dimitri Shvorob

(via Excel; with SAS/ACCESS and ActiveX Automation Server) (data import, data export, sas)

SASREADDEMO

sasread(sasfile,xlsfile)

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updated almost 7 years ago

Compute PSA-benchmarked prepayment metrics by Dimitri Shvorob

(CPR and SMM) (finance, modeling, analysis)

cprpsa(month,psa)

mgpmt(r,m)

smmpsa(month,psa)

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updated almost 7 years ago

Check your FEX author rank by Dimitri Shvorob

Display and record your FEX statistics (silly, time, waste)

vanity

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updated almost 7 years ago

Retrieve online content with Matlab by Dimitri Shvorob

(and store it in MySQL) (data import, data export, matlab mysql web)

Online text retrieval and storage with Matlab and MySQL

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updated almost 7 years ago

Export data to SAS by Dimitri Shvorob

(via Excel; with SAS/ACCESS and ActiveX Automation Server) (data import, data export, sas)

SASWRITE

saswrite(array,sasfile,xlsfile,varargin)

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updated 7 years ago

The Twain Shall Meet: Facilitating Data Exchange between SAS and Matlab by Dimitri Shvorob

(via MySQL) (whitepaper, article, paper)

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updated 7 years ago

Plot a univariate histogram by Dimitri Shvorob

(a little easier than with HIST) (data exploration, histogram, hist)

histfdemo

histf(x,varargin)

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updated 7 years ago

Plot a 'grouped' univariate histogram by Dimitri Shvorob

(Subsample histograms, stacked) (data exploration, histogram, grouped)

histgdemo

histg(x,c,varargin)

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updated 7 years ago

Find base-b expansion of an integer by Dimitri Shvorob

(Cf. DEC2BASE) (base, expand, expansion)

basexp(k,b)

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updated 7 years ago

Generate a Faure sequence by Dimitri Shvorob

(perhaps while learning QMC) (integration, faure monte carlo, qmc)

faure(k,d,b)

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updated 7 years ago

Generate a Van der Corput sequence by Dimitri Shvorob

(perhaps while learning QMC) (integration, corput, monte carlo)

vdcorput(k,b)

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updated 7 years ago

Winsorize data by Dimitri Shvorob

(using PRCTILE) (statistics, probability, winsorize)

winsor(x,p)

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updated 7 years ago

Jackknife a statistic by Dimitri Shvorob

(Extension of JACKKNIFE) (statistics, probability, jackknife leaveoneout...)

jknifedemo

jknife(fun,x,varargin)

jstats(res,varargin)

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updated 7 years ago

Bootstrap prediction error rate by Dimitri Shvorob

(Application of BSTRAP) (statistics, probability, bootstrap resampling)

bprederr

bpredfun1(zest,zval)

bpredfun2(zest,zval)

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updated 7 years ago

Bootstrap a statistic by Dimitri Shvorob

(Extension of BOOTSTRP) (statistics, probability, bootstrap)

bstrapdemo

bstats(res,varargin)

bstrap(b,f,fun,x,varargin)

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updated 7 years ago

Perform Page test by Dimitri Shvorob

(Non-parametric test of trend) (statistics, probability, page nonparametric fr...)

mcpage(x,b)

page(x)

randperg(x,varargin)

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updated 7 years ago

Permute a grouped vector by Dimitri Shvorob

(Extension of RANDPERM) (matrices, permute rearrange gro...)

randperg(x,varargin)

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updated 7 years ago

Bootstrap a statistic in a grouped sample by Dimitri Shvorob

(Extension of BOOTSTRP) (statistics, probability, bootstrap resampling)

bstats(res,varargin)

bstrag(b,fun,c,x,varargin)

bstrag_demo

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updated almost 8 years ago

A Powerful Sidekick: Using MySQL for High-Volume Data Manipulation in Matlab by Dimitri Shvorob

(How MySQL can benefit a Matlab user) (whitepaper, article, paper)

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