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updated 1 month ago

Automated Trading with MATLAB - 2012 by Stuart Kozola

Files from the Automated Trading webinar showing X_Trader and QuickFIX/J integration. (x_trader, algorithmic trading, genetic programming)

Algorithmic Trading with MATLAB: Intraday trading

Algorithmic Trading with MATLAB: Moving Average Rule

Algorithmic Trading with MATLAB: Pairs trading

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updated 4 months ago

Portfolio Diversi…cation Based on Optimized Uncorrelated Factors by Attilio Meucci

Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution (portfolio management, risk management, marginal risk contrib...)

EffectiveBets(b, Sigma, t)

torsion(Sigma, model, method, max_niter)

S_MainDiversification.m

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updated 5 months ago

Get stock option chains by ted p teng

Get stock option chains. (finance, stock, option chain)

getOptionChainYQL(tickers)

getOptionChainYQLExample.m

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updated 7 months ago

Quandl API Access by Ray

Access and download data from the Quandl database from inside the MATLAB console. (data import, finance, statistics)

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updated 1 year ago

Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes by Attilio Meucci

Inverse Call Transformation to compute shadow rates (portfolio management, risk management, quantitative finance)

InverseCallTransformation(rates, tau, eta, zeta)

S_AnalyzeJGBrates.m

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updated 1 year ago

A Fully Integrated Liquidity and Market Risk Model by Attilio Meucci

Conditional convolution algorithm to blend market risk and liquidity risk (risk management, portfolio management, liquidity risk)

S_Main.m

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updated 1 year ago

Yahoo Finance Time Series Analysis Tool by Christian Pass

Performs various time series analysis operations (data export, finance, gui)

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updated 1 year ago

Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator by Ahmos Sansom

Implementation of the Multi-Factor multi commodity forward curve simulator (finance, mathematics, optimization)

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updated 1 year ago

Technical Indicators by Nate Jensen

A single function that calculates 27 different technical indicators (finance, analysis, modeling)

indicators(vin,mode,varargin)

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updated 3 years ago

GARCH Tool by Phil Goddard

User Interface for fitting and evaluating a generic GARCH model using the Econometrics Toolbox. (garch, ar, ma)

GARCHTool

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updated 3 years ago

Copula-Marginal Algorithm (CMA) by Attilio Meucci

Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management (portfolio management, risk management, quantitative finance)

EntropyProg(p,A,b,Aeq,beq)

X=CMAcombination(x,u,U)

X=MvnRnd(M,S,J)

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updated 3 years ago

Get Price of Stocks with Google Stock API by ted p teng

This function obtains the current stock price of the input tickers. (google finance api)

getStockPriceFromGoogleFinance(tickers, isGetLastPrice)

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updated 3 years ago

Visualizing the Propagation of Risk by Attilio Meucci

Square-root rule diffusion for location-dispersion ellipsoid (financial engineering, portfolio management, quantitative finance)

h=TwoDimEllipsoid(Location,Square_Dispersion,Scale,PlotEi...

S_MultivarPropagation.m

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updated 3 years ago

Robust Bayesian Allocation by Attilio Meucci

portofolio optimization that controls for estimation risk (finance, portfolio management, quantitative finance)

EfficientFrontier(NumPortf, Covariance, ExpectedValues)

MainSectorsSnP.m

S_SimulationsCaseStudy.m

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updated 3 years ago

Review of Discrete and Continuous Processes in Finance by Attilio Meucci

discrete-time and continuous-time processes for finance, theory and empirical examples (finance, statistics, portfolio management)

AnalyzePersistence(Data,AggregationPersistence,LagsSamplA...

AnalyzeVarianceAggregation(Dates,Data,AggregationVariance...

Data=FilterJumps(Dates,Data,Name)

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updated 3 years ago

Managing Diversification by Attilio Meucci

Entropy-based mean-diversification efficient frontier (portfolio management, financial engineering, quantitative finance)

GenFirstEigVect(S,A)

MaxEntropy(G,w_b,w_0,Constr)

[E,L,G]=GenPCBasis(S,A)

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updated 3 years ago

Estimation of Structured t-Copulas by Attilio Meucci

Recursive routine to estimate structured correlation matrix and degrees of freedom (finance, modeling, analysis)

LogLik(x,Nu,Sigma)

MleRecursionForT(x,Nu,K,Tolerance)

[Nu,C]=StrucTMLE(X,K,Tolerance)

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updated 3 years ago

Simulations with Exact Means and Covariances by Attilio Meucci

Exact multivariate normal simulation (finance, statistics, portfolio management)

X=MvnRnd(M,S,J)

S_Test.m

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updated 3 years ago

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck by Attilio Meucci

Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation (finance, statistics, statistical arbitrage)

AnimateTrajectory(x,y,z)

[Mu,Th,Sig]=FitOU(Y,tau)

[Mu_t,Sig_t]=ProjectOU(x_0,t,Mu,Th,Sig)

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updated 3 years ago

Fully Flexible Extreme Views by Attilio Meucci

Entropy Pooling for extreme views on CVaR (finance, statistics, portfolio management)

Prior2Posterior(M, Q, M_Q, S, G, S_G)

gaussHermiteMesh(J)

hermitePolynomial(n)

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updated 3 years ago

Factors on Demand by Attilio Meucci

Proper implementation of factor models: bottom-up estimation, top-down attribution (finance, statistics, portfolio management)

BlackScholesCall(spot,K,r,vol,T)

ComputeCrossCorrelation(Y_F, Y_Z, Corr_Y_F)

DisplayCumumlBars(C)

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updated 3 years ago

Review of Dynamic Allocation Strategies by Attilio Meucci

Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc. (finance, statistics, portfolio management)

D=Delta(Time_to_Maturity,Stock_Value,Stock_Volatility,Str...

K=Solve4Strike(Strike,Time_to_Maturity,Stock_Value,Stock_...

S_Main.m

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updated 3 years ago

Exercises in Advanced Risk and Portfolio Management by Attilio Meucci

text and comments on solutions available at http://symmys.com/node/170 (finance, statistics, optimization)

BlackScholesCall(spot,K,r,vol,T)

BlackScholesCall(spot,K,r,vol,T)

ChoiceOptimal(Market,InvestorProfile)

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updated 3 years ago

Fully Flexible Views and Stress-testing by Attilio Meucci

Full generalization of Black-Litterman and related techniques via entropy pooling (finance, modeling, analysis)

CVaR=ComputeCVaR(Units,Scenarios,Conf)

Constr=SetUpConstraints(Securities);

EfficientFrontier(X,p, Options);

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updated 3 years ago

Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics by Attilio Meucci

Higher moments at any horizon (quantitative finance, portfolio management, risk management)

[ga,mu]=SummStats(X,N)

ka=Raw2Cumul(mu_)

mu=Raw2Central(mu_)

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updated 3 years ago

Historical Scenarios with Fully Flexible Probabilities by Attilio Meucci

State- and time-dependent risk management through Entropy Pooling (quantitative finance, portfolio management, risk management)

C=CallPrice(P, K, r, t, s)

EntropyProg(p,A,b,Aeq,beq)

[m,S]=DoubleDecay(X,lmd_c,lmd_s)

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updated 3 years ago

Fully Flexible Bayesian Networks by Attilio Meucci

Specification of conditional probabilities with minimal information through Entropy Pooling (quantitative finance, portfolio management, risk management)

ComputeMoments.m

EntropyProg(p,A,b,Aeq,beq)

[A,b,g]=CondProbViews(View,X)

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updated 3 years ago

Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management by Attilio Meucci

Compounded returns for projection/estimation Linear returns for portfolio aggregation (quantitative finance, portfolio management, risk management)

EfficientFrontier(NumPortf, Covariance, ExpectedValues)

[M,S]=Log2Lin(Mu,Sigma)

S_FrontierAtDifferentHorizons.m

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updated 3 years ago

Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects by Attilio Meucci

"Beta" not just the CAPM, "Beta" not on log-returns (quantitative finance, portfolio management, risk management)

FlexM(returns,demean,eps,df)

XXX=minfro(A);

[q,qerr,hf,hferr]=garch1f4(x,eps,df)

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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 4 years ago

Connecting to Interactive Brokers via ActiveX API by Jev Kuznetsov

Basic code that should help you get started with Interactive Brokers API. (finance, interactive brokers, api wrapper)

CListener

CSymbolData

CTws

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updated 4 years ago

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 M...

computebestportfolioPCT(expRet,expCov,portSize,targetRet)

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updated 5 years ago

An Introduction to Dataset Arrays by Ameya Deoras

A private webinar that shows some features of dataset arrays. (dataset)

datenan(x)

generate_heatmap(data)

myScript.m

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updated 5 years ago

Risk and Asset Allocation by Attilio Meucci

Software for quantitative portfolio and risk management (finance, modeling, analysis)

...

Addition(x,y);

Adendotd(dense, d, sparAd, Ablk, blkstart)

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