搜索资源列表
LMM_MonteCarlo
- MATLAB code to perform Monte Carlo simulation for getting price of an European swaption under the Libor Market Model (LMM) framework.
CDS_Copula
- code to price a n-to-default basket CDS. It takes as input hazard rate coefficients and uses T-copula model to calculate fair rate of CDS
svm_time
- 做时间序列预测的svm程序,matlab编的，多种时间序列预测模型-Time series prediction svm program, matlab code, and a variety of time-series forecasting model
ef01
- An effieient matlab program code for plotting the minimum vaiance froniers under different scenarios in the field of portfolio optimization.
cal
- An effieicnt matlab m code for solving the optimun capital allocation in the field of Markowitz portfolio optimization.
code_1015
- 用matlab软件实现从excel中读取数据的简短代码-Short code to read data from excel using Matlab software
regression-matlab-source-
- 线性回归matlab源码，处理一个经典的问题-Linear regression matlab source code, a classic problem
VWAP_from_Intra_Daily_Data
- 使用ｍａｔｌａｂ计算交易价的ＶＷＡＰ。是程序化交易和算法交易的必备代码。-Matlab calculate the trading price of the VWAP. Program trading and algorithmic trading must code.
sttc_stage_warlock.m.tar
- This matlab code is about STTC Stages in OFDM systems. This code was written with a lot of hardwork. This took me a lot of time to write.
DCCGARCH
- 多元garch估计，牛津大学sheppard教授写的五个m文件，用来估计参数。-dcc-garch model matlab code
ex3
- 机器学习关于逻辑回归的应用以及附有matlab源代码-Machine learning logistic regression with Matlab source code
CointegrationPairsTrading
- MATLAB code for Co-integration-based pairs trading
pricing-code
- 各式期权的定价方法，使用MATLAB地软件进行编写。-European option pricing methods binary tree, written with MATLAB.
code
- 一个利用MATLAB编写的螺纹钢期货高频交易套利策略。本策略主要使用移动平均(Moving Average)+RSI 指数策略进行交易判定。其基本思想是 MA 策略对 于明显 趋势走效果较好，而 RSI 策略适用于震荡的行情 ，对两种策略 产生的信号合成之后具有较强抵抗风险的能力 。实际验中，在对 。实际验中，在对 。实际验中，在对 初始 价格信号进行处理并 通过以往数 据回测，得到最佳 据回测，得到最佳 参数组合之后， 策略的 年均收益率 达到了23.6 2，夏普比率为 2.05。-One u
MetalsIndex
- 一个用Matlab编写的有色金属指数，该指数以铜、铝、锌、铅四个期货主力合约的历史平均持仓金额为权重的计算依据，其中权重调整频率和历史月数均可以动态调整-A nonferrous metals index code using Matlab, the index on the basis of copper, aluminum, zinc, lead four futures contract positions historical average positon amount，and t
MATLAB-programs
- 戴维.鲁伯特的统计与金融一书的matlab代码- matlab code of<statistics and finance >by David Rupert
SPAtest
- 自己写的APS检验matlab源代码。在金融统计中应用非常广泛。共大家参考-Write your own APS test matlab source code. In the financial statistics is widely used. A total of reference
MATLAB-code
- 包含了14段代码，主要是金融领域。包含了显性有限差分-期权定价、蒙特卡洛定价、风险中性期权定价等-Contains 14 sections of the code, mainly in the financial sector. Contains explicit finite difference- pricing, Monte Carlo pricing, risk-neutral pricing options
matlab code
- 用来实现BS公式的二叉树求解方法，有过程有解释有图(The two forked tree solution for the implementation of the BS formula has the process of explaining the graph)
金融数量分析.rar
- 这是郑志勇教授编写的金融数据分析，基于MATLAB编程一书的源代码，非常全的源代码。(This is written by Professor Zheng Zhiyong financial data analysis, based on MATLAB programming book source code, very complete source code.)