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updated 4 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)

Backtest Moving Average RSI Combo Strategy

Optimizing Market Risk using Copula Simulation

blsapp()

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updated 5 months ago

CVaR Portfolio Optimization by Seth DeLand

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object (portfolio optimizatio..., cvar, conditional value at ...)

CVaRPortfolioOptimizationExample.m

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updated 7 months ago

Commodities Trading with MATLAB by Anshuman Mishra

Demos from the 'Commodities Trading with MATLAB' webinar - July 25, 2013. (algorithmic trading, automated trading, trading)

Commodities Trading with MATLAB - Backtesting with varyin...

Commodities Trading with MATLAB - Catch-up strategy acros...

Commodities Trading with MATLAB - Cross Sectional Momentum

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updated 8 months ago

Content Based Image Retrieval by Chez

Simple content based image retrieval for demonstration purposes. Either using knn or classification (image retrieval, content based image r..., classification)

L1(numOfReturnedImages, queryImageFeatureVector, dataset)

L2(numOfReturnedImages, queryImageFeatureVector, dataset,...

[obj, overall]=confMatPlot(confMat, opt)

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updated 12 months 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

Treynor-Black portfolio management model by Ben

Treynor-Black portfolio management model (portfolio management, optimization, active)

[pct_w_pos_opti beta_pos_opti pct_w_active measures_port ...

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updated 1 year 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)

Algorithmic Trading with MATLAB: Intraday trading

Algorithmic Trading with MATLAB: Moving Average Rule

Algorithmic Trading with MATLAB: Pairs trading

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updated 1 year 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 almost 2 years ago

Output set of stock prices from yahoo finance as a matrix with header and dates into excel by Haidar Haidar

Output historical stock prices for a basket of stocks and given period as a matrix with header (financial mathematics, download stocks, yahoo finance)

[B,C,name2]=M_Tri_EXL(Start_Date,End_Date,ty)

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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

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 3 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 almost 4 years ago

FinMetrics by Vitaly Kuznetsov

Open source/open architecture quantitative portfolio management environment. (finance, investments, portfolio management)

fm(varargin)

Asset

AssetUniverse

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updated 4 years ago

Plot Stock Prices by Malcolm Wood

Retrieves and plots historical stock prices (finance, modeling, analysis)

plot_prices(symbol,num_days)

chart_example.m

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updated 4 years ago

Modeling Variable Annuities with MATLAB by Yi Wang

Pricing Guaranteed Minimum Withdrawal Benefit (pricing, gmwb, variable annuities)

calcGMWB(tickers, holdings, startDate, endDate, aWRate, a...

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

getEquityData(Ticker, FromDate, ToDate, Period)

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updated 4 years ago

Modeling Variable Annuities with MATLAB by Yi Wang

This demo shows how to price variable annuity product (Guaranteed Minimum Withdrawal Benefit) (va, variable annuities, variable annuity)

GMWB Demo

calcGMWB(tickers, holdings, startDate, endDate, aWRate, a...

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

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updated 5 years ago

Chinese Matlab Digest: Matlab Technical Bulletin by Hong Zhang

Chinese Matlab Digest is the first matlab digest published in Chinese by www.iLoveMatlab.cn (digest, matlab digest, chinese digest)

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updated 5 years ago

ECB Statistical Data Warehouse by Wu

Download econometric time series from the ECB Statistical Data Warehouse. (data fetch, data acquisition, econometric)

fECBcsv(cKey)

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updated 5 years ago

Real-Time Datafeed from Yahoo! by Eric Johnson

Extension of Datafeed Toolbox's Yahoo object, allowing real-time data to be fetched (finance, modeling, analysis)

builduniverse(y,s,d1,d2,p)

close(c)

display(c)

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updated 8 years ago

df2fts_ by Michael Robbins

Fetch from bloomberg and put in financial time series object. (finance, modeling, analysis)

myfts=df2fts(CIX,Field,FromDate,ToDate)

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updated 8 years ago

ZigZag - Financial Indicator Wave by Olaf Marthiens

Read Yahoo Stock price and generate ZigZag Wave. (finance, modeling, analysis)

ZigZag.m

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updated almost 10 years ago

Guaranteed yahoo/fetch by Erik Larsson

Ensures you get the data you want. (finance, modeling, analysis)

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updated 11 years ago

df2fts by Michael Robbins

Fetch from bloomberg and put in financial time series object. (finance, modeling, analysis)

myfts=df2fts(CIX,Field,FromDate,ToDate)

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