Community Profile

photo

Moeti Ncube


Last seen: 1 year ago Active since 2010

Proprietary Trader at Nextera Energy.

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

Statistics

  • Personal Best Downloads Level 2
  • First Review
  • 5-Star Galaxy Level 4
  • First Submission

View badges

Content Feed

View by

Submitted


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

5 years ago | 1 download |

Thumbnail

Submitted


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

5 years ago | 2 downloads |

Submitted


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

6 years ago | 4 downloads |

Thumbnail

Submitted


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

7 years ago | 5 downloads |

Thumbnail

Submitted


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

8 years ago | 5 downloads |

Thumbnail

Submitted


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

10 years ago | 3 downloads |

Thumbnail

Submitted


Binary Option Pricing Model
Price Binary Options

10 years ago | 4 downloads |

Submitted


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

10 years ago | 10 downloads |

Submitted


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

10 years ago | 2 downloads |

Thumbnail

Submitted


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

11 years ago | 1 download |

Thumbnail

Submitted


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

11 years ago | 1 download |

Thumbnail

Submitted


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

11 years ago | 3 downloads |

Thumbnail

Submitted


Particle Filter comparison with Smoothing Methods
Compares Particle filtering to smoother

11 years ago | 4 downloads |

Thumbnail

Submitted


Backtesting Code for Algorithmic Trading Strategy
Code to Backtest trading strategy

11 years ago | 6 downloads |

Thumbnail

Submitted


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

11 years ago | 8 downloads |

Thumbnail

Submitted


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

11 years ago | 2 downloads |

Thumbnail

Submitted


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

11 years ago | 4 downloads |

Thumbnail

Submitted


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

11 years ago | 1 download |

Thumbnail