Quantitative finance collector
Jun 13
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Jun 12
Neil left me a message: "...I am looking for examples of Vector Autoregression so I can code into excel, do you know of any links or any books that have this as code..."

Vector autoregression (VAR) model is one of the most successful, flexible, and easy to use models for the analysis of multivariate time series. It is a natural extension of the univariate autoregressive model to dynamic multivariate time series. The VAR model has proven to be especially useful for describing the dynamic behavior of economic and financial time series and
for forecasting. Wikipedia has a detailed explanation on it.

Unfortunately I have not used it except once I tried the built-in VAR function in Eviews over 5 years ago, when one of my classmates did a seminar presentation on it. Sorry I couldn't find useful VBA code, what i do get is a sample spreadsheet showing the VAR Series Analysis & Results but it seems the author intentionly hides the macro code, http://www.afpc.tamu.edu/courses/622/files/lecturedemos/Lecture%2007%20Vector%20Autoregression.xls.

If you are happy with Matlab, here is a Vector autoregression (VAR) package where you can track line by line how to implement and use the model, hope it helps, http://www.rri.wvu.edu/WebBook/LeSage/etoolbox/var_bvar/contents.html
Jun 11
Sobol sequence has been shared at posts Sobol and Generalised Faure sequences, halton and sobol sequences, and Primitive polynomials for Sobol sequences, respectively. Please read Low-discrepancy sequence at Wikipedia for introduction.

Here is another Sobol sequence generator containing the primitive polynomials and various sets of initial direction numbers for generating Sobol sequences. The reason I open a new post for it is it is able to support up to dimension 15000, incredible. Check it out at http://web.maths.unsw.edu.au/~fkuo/sobol/index.html.
Jun 8

Matlab toolbox

Posted by abiao at 16:09 | Code » Matlab | Comments(0) | Reads(4499)
Dozens of Matlab toolboxes(packages) for downloading, including the following classifications:
Audio - Astronomy - BiomedicalInformatics - Chemometrics  - Chaos - Chemistry - Coding - Control - Communications - Engineering - Data Mining - Excel - FEM - Fuzzy - Finance - GAs - Graph - Graphics - Images - ICA - Kernel - Markov - Medical - MIDI - Misc. - MPI - NNets - Oceanography - Optimization - Plot - Signal Processing - Optimization - Statistics - SVM  - Web - etc ...

Recommended matlab toolboxes:
Kernel Density Estimation Toolbox
http://ssg.mit.edu/~ihler/code/  

BOOTSTRAP MATLAB TOOLBOX
http://www.csp.curtin.edu.au/downloads/bootstrap_toolbox.html

CompEcon Toolbox for Matlab
http://www4.ncsu.edu/~pfackler/compecon/toolbox.html

Random Neural Networks
http://www.cs.ucf.edu/~ahossam/rnnsimv2/

Logistic regression
http://www.spatial-econometrics.com/

ARfit: A Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models
http://www.gps.caltech.edu/~tapio/arfit/

Time Series Analysis
http://www.dpmi.tu-graz.ac.at/~schloegl/matlab/tsa/

Interested ppl may download more at http://www.tech.plym.ac.uk/spmc/links/matlab/matlab_toolbox.html
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Jun 5
it is indisputable that optimization has been a crucial part to our financial world, the application of optimization routine ranges from fundamental mean-variance Markowitz efficient frountier to advanced neural network stock price prediction. Here is a carefully selected group of methods for unconstrained and bound constrained Matlab optimization problems including:
Line Search Methods:
steep.m : Steepest Descent
gaussn.m : Damped Gauss-Newton
bfgswopt.m : BFGS, low storage
Polynomial line search routines: polyline.m , polymod.m
Numerical Derivatives: diffhess.m : Difference Hessian,
requires dirdero.m : directional derivative, as do several other codes
Trust Region Codes:
ntrust.m : Newton's Method with Simple Dogleg
levmar.m : Levenberg-Marquardt for nonlinear least squares
cgtrust.m : Steihaug CG-dogleg
Bound Constrained Problems:
gradproj.m : Gradient Projection Method
projbfgs.m: Projected BFGS code
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