搜索资源列表
beta_estimation
- Implements Maximum likelihood estimation of beta and other parameters for model of stock portfolio vs. index using kalman filter
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
GarchTest
- Demo of some Garch models, include ugarch, dcc-garch, ica-garch, and neural network garch, and ica-nn-garch. the last two model are proposaed by me
webinar111606
- contains MATLAB scr ipts and data that were used in the webinar "Using MATLAB to Develop Asset-Pricing Models." The slides from the webinar are also included. The scr ipts examine the Fama & French model for a number of companies with recent IPOs to
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
Portfolio-Optimizer-Tool
- ＣＡＰＭ模型的Matlab实现程序。用于计算最优证券组合的配置和权重。-CAPM model of Matlab procedures. Used to calculate the optimal portfolio configuration and weight.
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
vol
- matlab金融时间序列ARMA建模 结果分析： 1.预测结果从第四步开始，预测值不再改变，因为ARMA是收敛的回归模型，而我们做的工作并不是模拟，所以，当预测步长足够长时，它最终将收敛于一个不变得预测值 2.既然预测值一样，为什么还原为成交量后，在置信区间下预测的最大值与预测均值的差比预测均值与最小值的差要大？因为将对数差分值还原时，需用到的指数函数为凹函数-matlab Financial Time Series the the ARMA modeling results Ana
GM(1-1)model
- 邓聚龙老先生著名的GM灰预测模型。可以在Matlab中实现。-Deng Julong gentleman famous gray prediction model GM. Implemented in Matlab.
dynamic-spatial-panel-data-model
- SAR模型用于经济学，金融学等模型仿真,SAR模型用于经济学，金融学等模型仿真-SARmodel,use to matlab
MATLAB-DOUBLE-LINES
- 商品期货均线突破模型，收益客观，可作初级程序化交易学习基础-Commodity futures average break through the model
correlation_demo
- 04/17/2014 Author: Emin Orhan Matlab code for running model-mismatch simulations for different scenarios. Matlab scr ipts corresponding to different scenarios are provided in separate directories. -04/17/2014 Author: Emin Orhan Matl
Untitled
- 金融股票证券量化分析模型，多因子选股，用matlab软件-The analysis model of financial stock quantification, multi factor stock, with MATLAB software
matlab
- 预测模型基于灰色理论gm(1,1)模型,可以应用于金融航空等预测-Predictive Model Theory gm (1,1) model can be applied to predict the financial and aviation
binary-tree
- 金融工程中,二叉树模型用于期权定价，用matlab程序实现，来进行套利-Two fork tree model for Option pricing
BBE_Ddisk
- BBE模型matlab程序,解决FAVAR模型(BBE model solving FAVAR model, use in macro economics)
univariate
- GARCH模型的matlab程序，使用最大似然估计方法进行参数估计(The matlab program of the GARCH model uses maximum likelihood estimation to estimate the parameters.)