Numerical computing environment developed to allow matrix manipulations, plotting of functions and data and implementation of algorithms.

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38 views

Creating index from bloomberg data in matlab

I'v got 6 different equity index time series from which I want to create an index based on a particular percentage. This would be simple although due to different holidays the date don't always match. ...
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0answers
19 views

How to run swapbyzero matlab function in a loop [closed]

I made a for loop in Matlab in which I price a swap by using the swapbyzero function. The swapbyzero function requires a rates structure created by using the intenvset function from matlab. The ...
0
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1answer
62 views

How to estimate parameters for 2 correlated Ornstein-Uhlenbeck processes with maximum likelihood?

I would like to use maximum likelihood to estimate the parameters of two correlated Ornstein-Uhlenbeck processes from empirical data. Do you have any good references for this? If you have any hints as ...
5
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1answer
140 views

Portfolio Optimization using Parametric Portfolio Policy Method in MATLAB

I want to contruct an optimized stock portfolio with the restriction of a zero-investment strategy. The portfolio weight in each stock needs to be modeled as a function of state variables (factors ...
2
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0answers
71 views

Simulate correlated Geometric Brownian Motion in the R programming language

In response to this question: How to simulate correlated Geometric brownian motion for n assets? One of the responses provides an implementation in MATLAB: ...
0
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1answer
56 views

L1 norm regularization of Markowitz portfolio in matlab

Markowitz portfolio with L1 norm regularization added L1 norm regularization based on the original model. The constraint equation is as follows: The following code is the original Markowitz ...
0
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0answers
17 views

FFT spread option price

Hurd and Zhou (2010) proposed a FFT-based method to calculate the spread option price. $\Phi$ is the characteristic function of $\log$-return and But I did not implement it successfully. Who has ...
4
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1answer
284 views

Does Matlab support exogenous variables in GARCH models?

Is it possible to introduce dummy variables or explanatory variables in the GARCH variance equation (garchset and garchfit) in ...
3
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1answer
51 views

Numerical Optimizer Matlab Calibration LMM

I am trying to mimimize the following function in order to calibrate the Libor Market Model $$\sum_{i=1}^{n} \left(\sigma_i^{market}-\sigma_i^{Reb}\left(a,b,c,d,\beta\right)/\sqrt{T_i}\right)^2,$$ ...
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1answer
30 views

What is the difference between group and inequality constraints in Matlab?

Sorry if this seems stupid. I was wondering what the difference between a group and inequality constraint is in Matlab. As far as I can tell they are the same: From Matlab ...
7
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3answers
127 views

Return Attribution: Possible remedies for multicollinearity

Let's say I have the following regression setup, which I am using for portfolio return attribution: $R = 1*\beta(1) + A*\beta(2) + B*\beta(3) + C*\beta(4) + \epsilon $ where A is dummy matrix of ...
10
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3answers
361 views

Is there a website that lists replication code of financial papers?

There are lot of questions on this website related to the replication of the empirical part of financial papers. I noticed that some (honest) authors provide on their personal website some ...
3
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1answer
103 views

How to implement dummy variables into GARCH(1,1) model from structural breaks (ICSS)

Hello everybody, I was already searching a lot of forums and read a huge amount of different papers. But I guess I am to stupid or I am at a loss. Hopefully some of you are able to help me out. Here ...
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0answers
41 views

Correlate the G2++ with a GBM model

In Matlab one can use the LinearGaussian2F function together with the simTermStructs function to create a simulated zero curve based on the G2++ model. Next to simulating the interest rates I need to ...
0
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1answer
131 views

Matlab code for equally weighted portfolio

I have daily returns of 10 stocks. I need to construct an equally weighted portfolio that goes long in the 3 highest returns and short in the 3 lowest returns. The portfolio needs to be re-balanced ...
0
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1answer
38 views

Imposing MLE restrictions by logistic mapping

I am doing some Maximum Likelihood Estimation with a density that has time-varying parameters. I am using the fmincon function in Matlab, but I do not know how to ...
3
votes
1answer
145 views

Cubic spline interpolation function within Matlab

I want to use the Cubic spline interpolation technique so I can interpolate yield curve points. Now I wonder if I can use the standard matlab function interpl1 (and then using the 'spline' method) or ...
1
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1answer
114 views

One-step ahead forecast of a AR(1) process (GARCH context)

I am using a Matlab toolbox for obtaining one-step ahead forecasts of the conditional mean from the ARMA(1,0)-GARCH(1,1) process and I have encountered a piece of code that contains, in my opinion, a ...
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0answers
116 views

Skewed Generalized Error Distribution's (SGED) pdf

I want to use the SGED distribution of Theodossiou for GARCH estimation, however, I am struggling to understand which is the correct pdf function of the distribution. Let me just say that the ...
0
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0answers
164 views

Forecasting conditional mean in ARMA-GARCH model (R/Matlab)

I am trying to forecast the conditional mean from a ARMA(1,0)-GARCH(1,1) model. The mean equation in my model is: $x_t = \mu + \delta x_{t-1} + h_t \epsilon_t$ where x is the variable (a return ...
0
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0answers
82 views

Skewed Generalized Error Distribution in GARCH modelling

I am trying to estimate GARCH models with the use of Theodossiou's (2000) Skewed Generalized Error Distribution. I am modifying matlab's ARMAX-GARCH-K toolbox to calculate this model. I am calculating ...
3
votes
1answer
117 views

Log-likelihood of skew-t distribution

I am trying to estimate GARCH models with the use of Hansen's (1994) skew-t distribution. I am using matlab's ARMAX-GARCH-K toolbox, where the log-likelihood is calculated as: ...
0
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0answers
29 views

Inverse Laplace transform

I'm trying to compute the inverse Laplace transform of the function gam below ...
6
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1answer
209 views

Density forecast of a GARCH model

I am currently working on developing a series of density forecasts and I am encountering some problems. I am working on weekly S&P 500 returns and the returns process is described as $r_{t} = ...
0
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0answers
80 views

Clayton-Gumbel (BB1) and Joe-Clayton (BB7) time-varying copulas

I'm trying to estimate parameters for Mixed Dynamic Copulas (Clayton-Gumbel and Joe-Clayton) Is there any code in MATLAB? Thanks for any help.
3
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1answer
314 views

Stochastic Volatility CIR estimation

Would anyone have a code (pref. Matlab or R) for any type of estimation (QML, GMM) not using option prices of a stochastic volatility model driven by a CIR process described below? \begin{equation} ...
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0answers
65 views

Monte Carlo simulation of Multifractional Brownian Motion in MATLAB

Code under is taken from http://en.literateprograms.org/Monte_Carlo_simulation_(Matlab) ...
1
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2answers
257 views

Aggregate interactive brokers data in matlab

I am using matlab and interactive brokers API. I am getting real time data using tickerID = ib.realtime({ct},'233',@(varargin)ibEventRealTimeData(varargin{:})); where ib is the interface to ...
4
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1answer
130 views

Matlab Portfolio Optimization with bid ask spread

I'm trying to find the optimal portfolio of options and stock which minimizes the standard deviation of the portfolio returns but also taking into consideration the bid and ask prices of the assets. ...
3
votes
2answers
186 views

How to get around flat likelihood function when calibrating GBM parameters?

I want to calibrate jointly the drift mu and volatility sigma of a geometric brownian motion, $$\log(S_t) = \log(S_{t-1}) + (\mu - 0.5*\sigma^2) \Delta t + \sigma*\sqrt{\Delta t}*Z_t$$ where $Z_t$ ...
0
votes
1answer
100 views

Do I need simulink to model the risks of an option portfolio

I wish to buy Matlab Home and learn to model the risks of a derivatives portfolio and then stress test it. So I am guessing I will need : Stochastic calculus Linear algebra Stats/Probability Some ML ...
0
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0answers
112 views

Maximum Likelihood Estimation Heston Model using Matlab

My question is based on the MLE of the Heston model discussed in this paper URL: http://www.princeton.edu/~yacine/stochvol.pdf with Matlab code: http://www.princeton.edu/~yacine/closedformmle.htm ...
1
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1answer
448 views

Geometric Brownian Motion - Why Sqrt(dt)? [closed]

I was going to simulate a geometric brownian motion in matlab, when I recognized that I didnt fully understand the underlying Wiener process. Following the instuctions here I am starting from the ...
2
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0answers
130 views

Simulation of Heston process

I am currently working on implementing Heston model in matlab for option pricing (in this case I am trying to price a European call) and I wanted to compare the results I obtain from using the exact ...
3
votes
1answer
986 views

constrained portfolio optimization by fmincon

I am working through this paper, http://www.nber.org/papers/w8922.pdf I want to implement the portfolio weight constraints see page 6-7. Here is the brief overview of my problem: Let ...
1
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0answers
69 views

Initial values for Heston Model calibration

I'm doing a Heston model in Matlab using simple Monte Carlo simulations (5.000 paths and 2 steps per day, simulating 360 days). When I try to calibrate the Heston parameters using fminsearch it takes ...
1
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0answers
79 views

How to decide if the ARCH coefficient is necessary in the GJR-GARCH model?

I did some analysis for CAC 40, the French market benchmark, for the period 2005-2014, and I tried to fit the data with a GJR(1,1) model in MATLAB. Then some warning showed Lower bound ...
2
votes
1answer
1k views

Johansen Cointegration Test

I just performed a Johansen Co-integration test on two stocks. The results I get are: ans = r0 r1 t1 true false I am using Matlab. Can ...
2
votes
1answer
158 views

How to identify the orders p and q for ARIMA model using least squares method?

I would like to identify the orders p and q for ARIMA model using least squares method in Matlab. I have got also two data files (one with noise and one without) Previously I identified p and q for ...
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votes
1answer
44 views

Matlab loop statement is driving me mad [closed]

Can someone please help me out with this loop over here? Matlab simple refuses to consider the for o=k:k-20 statement inside the if statement. :pullingmyhair: ...
3
votes
2answers
323 views

How to simulate a CIR process using GPU and Matlab

I am trying to simulate a CIR process using Matlab and my GPU for effeciency. At the moment i run into some implementation problems due to the recursive nature of the discretization. The sheme I ...
1
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1answer
287 views

matlab interpretation of johansen cointegration test

I need some help understanding the results of Johansen Cointegration test run on MATLAB. I am quite new to econometrics and do not fully comprehend what MATLAB has come up with. I would be really in ...
2
votes
2answers
200 views

VIX-implied Volatility calculator

Does anybody know any implied volatility calculator for VIX Options, possibily in Matlab? For Vanilla Options, I'm currently employing this function which is very fast and reliable (much more than ...
4
votes
1answer
489 views

Regime Switching for Dynamic Correlations

I would like to implement a Regime Switching for Dynamic Correlations in an out-of-sample analysis using MATLAB. After looking at the literature on the subject, they all refer to an article by Denis ...
1
vote
1answer
232 views

constrained portfolio optimization in matlab

I am working through this paper, http://www.nber.org/papers/w8922.pdf I want to implement the portfolio weight constraints see page 6-7. Here is the brief overview of my problem: Let ...
1
vote
0answers
60 views

How to estimate constrained a constrained VAR(1) with MATLAB?

Suppose I want to estimate the following VAR(1) model: $$ Y_t = \mu + \Phi Y_{t-1} + \varepsilon_t $$ where $Y_t=(y_{1t}, y_{2t},…,y_{kt})'$, $\mu=(\mu_1,…,\mu_{k})’$ and $\Phi$ a matrix of ...
0
votes
1answer
176 views

What are the parameters of the function PORTVAR in Matlab?

According to the Matlab help, Portvar will give the "Variance for portfolio of assets" by entering the returns of the Assets and the corresponding weight. However, it does not explain the parameters ...
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votes
1answer
264 views

Equall Risk Contribution and The Most Diversified Portfolio [closed]

I am a master degree student on applied economics at Brazil and my thesis will be about smart beta strategies. I pretend to apply Equal Weigth, Mininum Variance, Most Diversified Portfolio and Equal ...
2
votes
2answers
762 views

How to calculate the volatility matrix with multiple stocks

calculating the volatility for a single stock is straightforward. However, I'm not sure whether my approach for calculating the volatility matrix for multiple stocks is correct: I assume a log-normal ...
4
votes
1answer
2k views

Learn backtesting using MATLAB

What are some good ressources (books, articles, ...) to learn backtesting of investment strategies using MATLAB ? It can be strategies related to fixed-income, equities, derivatives, ... whatever. ...