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updated 2 years ago

The Bellman-Ford-Moore Shortest Path Algorithm by Derek O'Connor

A simple, efficient sparse implementation of the original Bellman-Ford-Moore Shortest Path Algorithm (shortest paths, sparse graphs)

BFMSpathOT(G,r)

Initialize(G)

TestBFMOTMaps;

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updated 4 years ago

Example of Volatility Pumping by Edward Grace

This script demonstrates the phenomenon of excess growth in a constant rebalancing portfolio. (finance, shannons demon, crp)

ejg_volatility_pumping.m

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updated 4 years ago

GAFFE A toolbox for solving evolutionary nonlinear PDEs by Edward Grace

This toolbox implements the well known split-step Fourier technique for solving nonlinear PDEs. (pde, fft, nonlinear)

B=fftnpad(A,varargin)

DefaultDiffraction(dz,KX,X,u,U)

DefaultDiffractionFibich(dz,KX,X,u,U)

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updated 4 years ago

Granger Causality Test by Chandler

Conducts a Granger Causality test using the Bayesian Information Criterion to select lag length (statistics, finance, granger causality)

granger_cause.m

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updated almost 5 years ago

Forward Viterbi Algorithm by David Conger

Forward Viterbi algorithm based on: http://en.wikipedia.org/wiki/Viterbi_algorithm (viterbi algorithm, hidden markov model, dynamic programming)

forward_viterbi(obs,states,start_p,trans_p,emit_p)

runViterbi.m

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updated 6 years ago

Empirical Mode Decomposition by Manuel Ortigueira

It decomposes a given signal into a set of intrinsic mode functions that are essentially AM/FM modul (signal processing, emd, hht)

rParabEmd__L.m

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updated almost 7 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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