Community Profile

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Moeti Ncube


18 total contributions since 2010

Proprietary Trader at Nextera Energy.

I have an interest in using Matlab to analyse large datasets, run simulations, and algorithmic trading.

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Contributions in
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Submitted


Several algorithmic trading strategies on the stock ticker SPY
Replication of several trading strategies presented on quantifiedstrategies.com

9 months ago | 26 downloads |

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CME group web scraper
Scrapes natural gas options data from the CME group options exchange

10 months ago | 5 downloads |

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Historical Hourly Weather Scraper
Scrapes Historical Hourly Weather Data From User Specified Zip Codes

1 year ago | 4 downloads |

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Mean Variance Portfolio Optimization of S&P 500 Stocks
Example Portfolio optimization that can be used for backtesting cross-sectional stock strategies

2 years ago | 12 downloads |

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A simple yet powerful model for simulating spot and forward prices
A novel procedure that can be used for Monte Carlo pricing of commodities

3 years ago | 7 downloads |

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Calibration of Forward Price, Volatility, and Correlations across multiple assets
Calibration of multiple Fwd Prices and Vol Curves

5 years ago | 5 downloads |

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Binary Option Pricing Model
Price Binary Options

5 years ago | 6 downloads |

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Heston Model Calibration and Simulation
Calibrated the Heston Model to market Option prices

5 years ago | 48 downloads |

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Nonparametric Estimation of Regime Switching Data
Methodology from simulated data without any modeling assumptions

5 years ago | 7 downloads |

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Simulation of Forward Curve using PCA (principle component analysis)
Method of simulation forward curves

6 years ago | 3 downloads |

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Time Series estimation of Cyclical data process
Procedure for estimation cyclical data

6 years ago | 1 downloads |

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Simulation of CEV process
Constant Elasticity of Variance (CEV) process

6 years ago | 4 downloads |

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Particle Filter comparison with Smoothing Methods
Compares Particle filtering to smoother

6 years ago | 11 downloads |

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Backtesting Code for Algorithmic Trading Strategy
Code to Backtest trading strategy

6 years ago | 26 downloads |

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Particle Smoothing Expectation Maximization Procedure
An estimation technique for time series data. Extension to previous code

6 years ago | 5 downloads |

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Calibration Method for the Schwartz-Smith Model
A Kalman Smoother Expectation Maximization Procedure

6 years ago | 4 downloads |

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Simulation of Schwartz-Smith two Factor model
Replicated results given in Schwartz-Smith paper.

6 years ago | 6 downloads |

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Parameter Estimation Technique for general datasets
An estimation procedure for many types of data

6 years ago | 12 downloads |

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