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updated 8 months ago

MATLAB for R Users in Computational Finance by Ameya Deoras

Learn how to use MATLAB and R together to tackle your computational needs (r, rstudio, time series)

blsapp()

blsbtyval(SpotPrice, StrikePrice, RiskFreeRate, ...

blsmaincall2(Request)

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updated 8 months ago

Algorithmic Trading | Moving Average Crossover Strategy with WFAToolbox by WFAToolbox

The classical technical analysis strategy for an advanced algorithmic trading GUI - WFAToolbox (finance, gui, trading)

MAcross_strategy(x,price)

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updated 10 months ago

Algorithmic Trading with Bloomberg EMSX and MATLAB by Nicole Wilson

Files used in the webinar which can be viewed at http://www.optinum.co.za/webinars/contact_main.php (finance, demo, webinar)

constructTradingSignal(Data,M,N)

executeTrades(c, equity, signal)

generateSpacedInts(lb, ub, number)

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updated 1 year ago

Building and Extending Portfolio Optimization Models with MATLAB by sri

Object-oriented implementations of the Portfo and the Black-Litterman approach (portfolio optimizatio..., finance, object oriented progr...)

View(varargin)

compareWeights( ExcessHistoricalReturns, ExcessImpliedRet...

PortfolioBL

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updated 1 year ago

Trinomial tree calibration by Francesco Paolo Esposito

This function calibrates the Hull-White trinomial tree. (finance)

trintree_calswaption( Curve, V, Period, coin )

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updated 1 year ago

Black and Shcoles calculator by Hanan Kavitz

Graphical Black and Shcoles calculator for visualizing different sensetives (bls, black and shcoles, gui)

blscalculator(varargin)

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updated 1 year 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 1 year ago

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)

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updated 1 year ago

Matrix Decomposition by Aleksander

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

SpectralDP(Correlation)

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updated almost 2 years ago

Automated Trading with MATLAB - 2012 by Stuart Kozola

Files from the Automated Trading webinar showing X_Trader and QuickFIX/J integration. (algorithmic trading, automated trading, fix)

createMSMQ()

crossover(parents,options,GenomeLength,FitnessFcn,unused,...

dsample(HLC, factor)

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updated almost 2 years ago

SCOPE: interactively tabulate SEER excel variables by Rex Cheung

This takes SEER excel column data interactively, tabulate them, write back in table format. (data import, data export, optimization)

output=xls2tabulate2xls(xlsfilename)

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updated 2 years ago

Credit Risk Modeling with MATLAB by Ameya Deoras

These are the supporting MATLAB files for the MathWorks webinar of the same name. (credit risk, transition matrices, var)

...

Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

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updated 2 years ago

Improving MATLABĀ® 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)

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updated 3 years ago

Using MATLAB to Optimize Portfolios with Financial Toolbox by Bob Taylor

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

part1_plot(varargin)

PortfolioDemo

part1_intro.m

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updated 3 years ago

Portfolio Optimizer Tool by Patric Schenk

Portfolio Optimizer Tool (data import, finance, gui)

portfoliotool(varargin)

ExcelReport

Portfolio

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updated 3 years ago

Algorithmic Trading with MATLAB - 2010 by Stuart Kozola

Files from the November 18, 2010 webinar. (algorithmic trading, trading, moving average)

crossover(parents,options,GenomeLength,FitnessFcn,unused,...

fitness(pop,indicator,price,scaling,cost)

importfile(fileToRead1)

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updated 3 years ago

Efficient Frontier GUI by Ameya Deoras

Efficient frontier from Yahoo or database data. (finance, modeling, analysis)

dfdb_port_opt(varargin)

cleanMe.m

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updated 3 years ago

Financial Seminar Demos by Ameya Deoras

Demos commonly used at The MathWorks financial modeling seminars. (finance, modeling, analysis)

PortVaRmc(nsim)

blsimpv(so,x,r,t,call,maxiter,q,tol)

blsvis(varargin)

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updated almost 4 years ago

Pricing Derivatives Securities using MATLAB by Mayeda Reyes-Kattar

Examples of pricing derivatives securities using MATLAB (finance, modeling, analysis)

optionvanilla(S,E,r,T,sigma,divYield,nSims,nSteps,type, s...

portbrowser(varargin)

treedemonew(Command, Trees,Port,RS)

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updated 4 years ago

Desenvolvimento de Aplicacoes com MATLAB by Elia Matsumoto

Slides and demo files from the webinar "Desenvolvimento de Aplicacoes com MATLAB" (matlab, portuguese, live webinar)

ButterflyValue=Butterflyval(OptionProps)

Butterflysurf(OptionProps)

CelltowerGUI()

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updated 4 years ago

Fitting Survival Probability Models by Gabo

Companion code for "Fitting Survival Probability Models" article. (credit default swaps, cds, wilmott)

genHazFun(t,b)

protectLeg(Term,Settle,PL_Date,Basis,LIBOR,Recovery,probf...

rpv01(Term,Settle,RPV_Dates,Basis,LIBOR,probfun,b)

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updated 5 years ago

MATLAB no Desenvolvimento de Modelos para Financas by Elia Matsumoto

Slides and demo files using Brazilian market data. (webinar, matlab, financial modeling)

GP(varargin)

GP_Aversao( )

GP_Inic( )

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updated 5 years ago

Developing a Financial Market Index Tracker using MATLAB OOP and Genetic Algorithms by Mark Hoyle

Files used in the webinar of the same name (finance, modeling, analysis)

CreateIndex(NumDays,NumStocks,TotalNumStocks,L,K,s,t)

GetGAData(Wts,Stocks,Dates,StartDate)

InitialiseSession

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updated 6 years ago

Monte Carlo simulations using MATLAB by Vincent Leclercq

Demonstrations of Monte Carlo simulations in MATLAB (finance, modeling, analysis)

BlsHalton(S0,X,r,T,sigma,NPoints)

BlsMC(S0,X,r,T,sigma,NRepl)

BlsMCAV(S0,X,r,T,sigma,NRepl)

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updated 6 years ago

MathWorks Webinar: Using Genetic Algorithms in Financial Applications by Oren Rosen

Presentation and M-Files for MathWorks Webinar (finance, modeling, analysis)

ComputeBestPortfolio(expRet,expCov,portSize,targetRet)

ComputeHistoricalStats(prices)

FindTarget(target)

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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)

util(Wts)

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

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updated 7 years ago

Matlab-GUI equity derivative calculator by Biao

equity derivative calculator using matlab GUI (finance, modeling, analysis)

American(varargin)

AssetorNth(varargin)

CashorNth(varargin)

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updated 8 years ago

Interactive Efficient Frontier Viewer by Paul Taylor

Efficient Frontier Viewer using nested functions (finance, modeling, analysis)

portfolio_eff_frontier(varargin)

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updated 8 years ago

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

Scripts to create time-evolving efficient frontiers and to backtest results. (finance, modeling, analysis)

[DateHistory, RetHistory, PortHistory, X, Y, Z ] ...

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Cova...

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updated almost 11 years ago

TechTradeTool by Stephanos-George Papadamou-Stephanides

A toolbox for calculating and optimizing technical analysis trading systems. (finance, modeling, analysis)

[bestPerf, opt1, opt2, opt3, opt4]=optimizeSys2(menuIn, s...

[bestPerf, opt1, opt2]=optimizeSys(st, tsIn, lobIdays1, u...

[plRuin]=plotpruin(NT,MT,XWO,XPL,XRF,NR);

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