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Quantitative Finance Collector is a blog on Quantitative finance analysis, financial engineering methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management. Random thoughts on financial markets and personal staff are posted at the sub personal blog.

Oct 30
Dozens of Matlab code for Econometrics study, including:

Brock, Dechert& Scheinkman (1986) test for independence based on the correlation dimension

Significance level of the BDS statistic in small samples

Geweke &Porter-Hudak (1983) estimation of fractional differencing parameter

Heteroskedasticity-consistent variance-ratio evaluationfor any q spacing

Engle's(1982) test for ARCH

Box-Pierce(1970) Q test using Ljung & Box's (1978) finite-sample correction

Phillips-Perron test of the unit-root hypothesis in a Dickey-Fuller regression

Durbin h statistic and significance of the hypothesis of no serial correlation

Durbin-Watson d-statistic and significance level for the null hypothesis: DW = 2

http://ww61.tiki.ne.jp/~kanzler/index.htm#L.%20Kanzler:%20Software
Oct 13
Library of econometric functions for performance and risk analysis of financial portfolios. This library aims to aid practitioners and researchers in using the latest research in analysis of both normal and non-normal return streams.

We created this library to include functionality that has been appearing in the academic literature on performance analysis and risk over the past several years, but had no functional equivalent in R. In doing so, we also found it valuable to have wrapper functions for functionality easily replicated in R, so that we could access that functionality using a function with defaults and naming consistent with common usage in the finance literature. The following sections cover Performance Analysis, Risk Analysis (with a separate treatment of VaR), Summary Tables of related statistics, Charts and Graphs, a variety of Wrappers and Utility functions, and some thoughts on work yet to be done.


http://braverock.com/brian/R/PerformanceAnalytics/html/PerformanceAnalytics-package.html
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