Apr
27
Excel spreadsheets of the course Volatility Forecasting and Trading taught by Professor Ser-Huang Poon at Manchester business school, mainly including:
Estimation and Forecasts :
What is Volatility?
Volatility estimation
Data frequency vs. reference period
Realised volatility, quadratic variation and bipower variation
Market microstructure issue
Volatility Forecast and Evaluation
Error statistics
Test for significant difference
Regression based efficiency tests
Volatility Time series models
Historical vol model
Exponential smoothing, EWMA, Regime switching
ARCH
GARCH, IGARCH, EGARCH, GJR-GARCH
Short vs. Long memory models
Stochastic Volatility Models
Extension to Multivriate and Jumps
VaR (Value at risk)
...
more about pdf lectures and excel sample codes are at: http://www.personal.mbs.ac.uk/spoon/VolatilityForecastingAndTrading.htm
http://www.personal.mbs.ac.uk/spoon/DataProgrammes.htm
Estimation and Forecasts :
What is Volatility?
Volatility estimation
Data frequency vs. reference period
Realised volatility, quadratic variation and bipower variation
Market microstructure issue
Volatility Forecast and Evaluation
Error statistics
Test for significant difference
Regression based efficiency tests
Volatility Time series models
Historical vol model
Exponential smoothing, EWMA, Regime switching
ARCH
GARCH, IGARCH, EGARCH, GJR-GARCH
Short vs. Long memory models
Stochastic Volatility Models
Extension to Multivriate and Jumps
VaR (Value at risk)
...
more about pdf lectures and excel sample codes are at: http://www.personal.mbs.ac.uk/spoon/VolatilityForecastingAndTrading.htm
http://www.personal.mbs.ac.uk/spoon/DataProgrammes.htm
Apr
26
LAPACK++: A Design Overview of Object-Oriented Extensions for High Performance Linear Algebra. LAPACK++ (Linear Algebra PACKage in C++) is a software library for numerical linear algebra that solves systems of linear equations and eigenvalue problems on high performance computer architectures.
Computational support is provided for supports various matrix classes for vectors, non-symmetric matrices, SPD matrices, symmetric matrices, banded, triangular, and tridiagonal matrices; however, it does not include all of the capabilities of original f77 LAPACK. Emphasis is given to routines for solving linear systems consisting of non-symmetric matrices, symmetric positive definite systems, and solving linear least-square systems.
Download at http://math.nist.gov/lapack++/
Computational support is provided for supports various matrix classes for vectors, non-symmetric matrices, SPD matrices, symmetric matrices, banded, triangular, and tridiagonal matrices; however, it does not include all of the capabilities of original f77 LAPACK. Emphasis is given to routines for solving linear systems consisting of non-symmetric matrices, symmetric positive definite systems, and solving linear least-square systems.
Download at http://math.nist.gov/lapack++/
Apr
26
Had a nice weekend? Just had an English test for UK Tier 1 General visa, feel relaxed now. Ok, selected sources this week for you, take a look if interested.
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Finance Career: Learn about finance firm profiles, finance jobs, finance career message boards and more.
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TradingSolutions: Financial analysis and investment software that combines technical analysis with neural network and genetic algorithms.
The Innovative Forex Platform - Download for FREE!
More than investment news... In-depth Investing Analysis & Trusted Opinion. GET YOUR FREE TRIAL NOW!
Finance Career: Learn about finance firm profiles, finance jobs, finance career message boards and more.
Join The Investing Social Network
TradingSolutions: Financial analysis and investment software that combines technical analysis with neural network and genetic algorithms.
Apr
23
A friend of mine asks me how to download stock historical price automatically with Excel, here are two ways I have played:
1, using Excel 2003/2002 Add-in to download from MSN Money Stock Quotes. This add-in for Microsoft Office Excel 2003 and Microsoft Excel 2002 allows you to get dynamic stock quotes from the MSN Money Web site. The add-in allows you to easily gather and study the stocks of interest to you.
http://www.microsoft.com/downloads/details.aspx?FamilyID=485FCCD8-9305-4535-B939-3BF0A740A9B1&displaylang=en
2, using the following macro to download from Yahoo finance. where you have to input start, end date and stock symbol
In Matlab there is build-in function named "fetch" for requesting data from Yahoo! data servers.
1, using Excel 2003/2002 Add-in to download from MSN Money Stock Quotes. This add-in for Microsoft Office Excel 2003 and Microsoft Excel 2002 allows you to get dynamic stock quotes from the MSN Money Web site. The add-in allows you to easily gather and study the stocks of interest to you.
http://www.microsoft.com/downloads/details.aspx?FamilyID=485FCCD8-9305-4535-B939-3BF0A740A9B1&displaylang=en
2, using the following macro to download from Yahoo finance. where you have to input start, end date and stock symbol
Sub GetData()
Dim DataSheet As Worksheet
Dim EndDate As Date
Dim StartDate As Date
Dim Symbol As String
Dim qurl As String
Dim nQuery As Name
Application.ScreenUpdating = False
Application.DisplayAlerts = False
Application.Calculation = xlCalculationManual
Set DataSheet = ActiveSheet
StartDate = DataSheet.Range("B1").Value
EndDate = DataSheet.Range("B2").Value
Symbol = DataSheet.Range("B3").Value
Range("C7").CurrentRegion.ClearContents
qurl = "http://ichart.yahoo.com/table.csv?s=" & Symbol
qurl = qurl & "&a=" & Month(StartDate) - 1 & "&b=" & Day(StartDate) & _
"&c=" & Year(StartDate) & "&d=" & Month(EndDate) - 1 & "&e=" & _
Day(EndDate) & "&f=" & Year(EndDate) & "&g=" & Range("E3") & "&q=q&y=0&z=" & _
Symbol & "&x=.csv"
Range("b5") = qurl
QueryQuote:
With ActiveSheet.QueryTables.Add(Connection:="URL;" & qurl, Destination:=DataSheet.Range("C7"))
.BackgroundQuery = True
.TablesOnlyFromHTML = False
.Refresh BackgroundQuery:=False
.SaveData = True
End With
Range("C7").CurrentRegion.TextToColumns Destination:=Range("C7"), DataType:=xlDelimited, _
TextQualifier:=xlDoubleQuote, ConsecutiveDelimiter:=False, Tab:=True, _
Semicolon:=False, Comma:=True, Space:=False, other:=False
Range(Range("C7"), Range("C7").End(xlDown)).NumberFormat = "mmm d/yy"
Range(Range("D7"), Range("G7").End(xlDown)).NumberFormat = "0.00"
Range(Range("H7"), Range("H7").End(xlDown)).NumberFormat = "0,000"
Range(Range("I7"), Range("I7").End(xlDown)).NumberFormat = "0.00"
End Sub
Dim DataSheet As Worksheet
Dim EndDate As Date
Dim StartDate As Date
Dim Symbol As String
Dim qurl As String
Dim nQuery As Name
Application.ScreenUpdating = False
Application.DisplayAlerts = False
Application.Calculation = xlCalculationManual
Set DataSheet = ActiveSheet
StartDate = DataSheet.Range("B1").Value
EndDate = DataSheet.Range("B2").Value
Symbol = DataSheet.Range("B3").Value
Range("C7").CurrentRegion.ClearContents
qurl = "http://ichart.yahoo.com/table.csv?s=" & Symbol
qurl = qurl & "&a=" & Month(StartDate) - 1 & "&b=" & Day(StartDate) & _
"&c=" & Year(StartDate) & "&d=" & Month(EndDate) - 1 & "&e=" & _
Day(EndDate) & "&f=" & Year(EndDate) & "&g=" & Range("E3") & "&q=q&y=0&z=" & _
Symbol & "&x=.csv"
Range("b5") = qurl
QueryQuote:
With ActiveSheet.QueryTables.Add(Connection:="URL;" & qurl, Destination:=DataSheet.Range("C7"))
.BackgroundQuery = True
.TablesOnlyFromHTML = False
.Refresh BackgroundQuery:=False
.SaveData = True
End With
Range("C7").CurrentRegion.TextToColumns Destination:=Range("C7"), DataType:=xlDelimited, _
TextQualifier:=xlDoubleQuote, ConsecutiveDelimiter:=False, Tab:=True, _
Semicolon:=False, Comma:=True, Space:=False, other:=False
Range(Range("C7"), Range("C7").End(xlDown)).NumberFormat = "mmm d/yy"
Range(Range("D7"), Range("G7").End(xlDown)).NumberFormat = "0.00"
Range(Range("H7"), Range("H7").End(xlDown)).NumberFormat = "0,000"
Range(Range("I7"), Range("I7").End(xlDown)).NumberFormat = "0.00"
End Sub
In Matlab there is build-in function named "fetch" for requesting data from Yahoo! data servers.
Apr
22
Neural network matlab source code accompanying the book Neural Networks in Finance: Gaining Predictive Edge in the Market by professor Paul D. McNelis. This book has got wonderful review like “This book clarifies many of the mysteries of Neural Networks and related optimization techniques for researchers in both economics and finance. It contains many practical examples backed up with computer programs for readers to explore. I recommend it to anyone who wants to understand methods used in nonlinear forecasting.”– Blake LeBaron, Professor of Finance, Brandeis University”. Presumably a worthy-reading one.
Download the Neural Network matlab source code and several paper at the author's webpage: http://www.bnet.fordham.edu/mcnelis/recent.htm or try using TradingSolutions: Financial analysis and investment software that combines technical analysis with neural network and genetic algorithms. 
Download TradingSolutions
Download TradingSolutions
