Finance and Economics

Subcategories

Financial Tools M-files   
User contributed finance m-files from the MATLAB Central File Exchange.

http://www.mathworks.com/matlabcentral/fileexchange/loadCategory.do?objectType=category&objectId=3
Submitted Apr 18, 2000
Updated May 04, 2004
Econometrics toolbox   
This toolbox contains function for econometrics estimation, diagnostics and statistical testing procedures and others. Over 300 functions are included in this well documented toolbox.

http://www.spatial-econometrics.com/
Submitted Jun 30, 1999
RisKontroller - MATLAB Toolbox for Risk Analysis and Management   
Our RisKontroller technology enables you to rapidly develop and modify tailor-made models and systems. The technology combines advanced stochastic process estimation, sparse tree generation, dynamic stochastic modeling and solution, density function estimation, and techniques for sculpting density functions of model outcomes. These techniques enable you to analyze large multi-factor models over time, integrate multiple types of risks, incorporate policy and legal constraints, decide on policies based on desired density function profiles, and access and change internal models.

http://www.mathworks.com/products/connections/product_main.shtml?prod_id=352
Submitted Apr 05, 2000
Updated Sep 03, 2004 by rufin
MATLAB Functions from William F. Sharpe   
These functions were written primarily for illustrative purposes. Many are taken from and/or descrived in the material on principles and techniques... Each function is stored in a file with a .txt extension... After viewing one of the functions, you may save it in a directory on your MATLAB path, using the same name and an .m extension. The function can then be used in any program. You can then also get its initial comment lines by issuing the command help, followed by the file name (e.g. help wcov). The functions are listed below in alphabetic order...

http://www.stanford.edu/~wfsharpe/mat/mlfn.htm
Submitted Jul 07, 1999
Updated Jun 24, 2004
MathWorks - Financial Derivatives Toolbox     
Provides components to analyze interest rate derivative instruments and portfolios. The Financial Derivatives Toolbox allows you to calculate prices and sensitivities of derivatives and to perform hedging analysis and visualize the results.

http://www.mathworks.com/products/derivatives/
Submitted Nov 16, 2000
Updated Jun 24, 2004
Free Online MathWorks Seminar: Using MATLAB for Fixed Income Modeling     
This online webinar will present how financial services professionals can develop customized algorithms for calculating bond prices, yields, and spreads for fixed-income securities such as treasury bonds, corporate bonds, T-bills, CDs, and mortgage-backed securities. The examples shown in the presentation will demonstrate the functionality in the Fixed-Income Toolbox and other relevant MathWorks products.

http://finianz.de
Submitted Oct 13, 2003
Updated Nov 13, 2007
Macro-Investment Analysis   
Matrices & Programming, Prices, Probabilities, Risk & Return, Optimization, Factor Models, Style Analysis, Equilibrium, Performance Measurement, and more.

http://www.stanford.edu/~wfsharpe/mia/mia.htm
Submitted Jun 08, 2005 by MATLAB Central Admin
Updated Jun 13, 2005
MathWorks - Financial Toolbox     
The Financial Toolbox is used for a wide array of applications including fixed income pricing, yield, and sensitivity analysis; advanced term structure analysis; coupon cash flow date and accrued interest analysis; and derivative pricing and sensitivity analysis.

http://www.mathworks.com/products/finance/
Submitted Jul 01, 1999
Updated Jun 24, 2004
GarchKit   
Provides highly optimized MLE estimation and simulation of GARCH(1,1) models.

http://www-agecon.ag.ohio-state.edu/people/roberts.628/research/garchkit/garchkit.html
Submitted Apr 11, 2000
Trading with MATLAB and Interactive Brokers   
Use this Product to trade any financial instrument with MATLAB. Connect with Interactive Brokers API through MATLAB and build your own automated trading system with MATLAB. Use all the toolboxes available with MATLAB and trade like a PRO.

http://www.exchangeapi.com
Submitted Sep 04, 2006 by sivakumar
Updated Sep 05, 2006
MathWorks - GARCH Toolbox     
The GARCH Toolbox provides essential tools for univariate Generalized Autoregressive Conditional Heteroskedasticity(GARCH) volatility modeling. The GARCH Toolbox features a simple interface that enables you to analyze volatility in the financial markets using univariate GARCH models.

http://www.mathworks.com/products/garch/
Submitted Aug 28, 2000
Updated Apr 30, 2004
Gauss to MATLAB Converter   
Converts Gauss programs to MATLAB and other resources for making a gentle transition from Gauss to MATLAB. This link updates a link that has been dead for some time.

http://www.cameronrookley.com/gtoml/maingtm.html
Submitted Jan 10, 2003
Updated May 04, 2004
Free Online MathWorks Seminar: Using MATLAB to Develop Portfolio Optimization Models     
This recorded webinar demonstrates how to use MATLAB� and the Financial Toolbox to combine familiar concepts of asset pricing, risk measurement, and portfolio optimization to develop tradable portfolios of assets that have low turnover, stable moments, and desirable return and risk characteristics. While grounded firmly in finance theory, this webinar shows how to produce solid and robust real-world results that bridge the gap between theory and practice.

http://www.mathworks.com/mtd10846
Submitted Dec 06, 2005
MathWorks - Datafeed Toolbox     
The Datafeed Toolbox integrates the numerical, computational, and graphical capabilities of MATLAB� with financial data providers. Datafeed Toolbox provides a direct connection between MATLAB and data provided by the Bloomberg data service. Once the data is in MATLAB, it can then be analyzed using other tools in the MATLAB product family such as GARCH, Statistics, Financial Time Series, and Neural Networks.

http://www.mathworks.com/products/datafeed/
Submitted Aug 28, 2000
Updated Apr 30, 2004
quantitative finance matlab code index   
collect matlab code and software on quantitative finance

http://www.mathfinance.cn/showcategory.php?cid=20
Submitted Apr 13, 2007 by tigergb
Updated Mar 14, 2008
MathWorks - Fixed-Income Toolbox     
The Fixed-Income Toolbox extends MATLAB by providing functions for fixed-income modeling and analysis. The toolbox includes tools for determining the price, yield, and cash flow for many types of fixed-income securities, including mortgage-backed securities, corporate bonds, treasury bonds, municipal bonds, certificates of deposit, and treasury bills.

http://www.mathworks.com/products/fixedincome/
Submitted Oct 24, 2003
MathWorks - Database Toolbox     
The Database Toolbox allows you to connect to and interact with most ODBC/JDBC databases from within MATLAB�. The Database Toolbox allows you to use the powerful data analysis and visualization tools of MATLAB for sophisticated analysis of data stored in databases. From within the MATLAB environment, you can use Structured Query Language (SQL) commands to: Read and write data to and from a database; Apply simple and advanced conditions to your database queries.

http://www.mathworks.com/products/database/
Submitted Aug 28, 2000
Updated Jun 24, 2004
qmle.m   
QMLE contains the quasi maximum likelyhood estimating procedure and performing Information Matrix test for a univariate GARCH(1,1) model.

http://www.mathtools.net/files/net/qmle.zip
Submitted Aug 20, 1999
Mechanical Trading System in MatLab   
MEX API to TA-Lib functions released. Documentation of API at tadoc.org

http://sourceforge.net/projects/mlmechtrade/
Submitted Feb 22, 2007 by Pranas
Updated Mar 08, 2007 by Pranas Baliuka
MATLAB Trader   
This site is dedicated to helping Matlab users research and backtest stock trading strategies. Matlab can also be used to actually execute systematic trading strategies by connecting to a broker with an API.

http://www.matlabtrader.com/
Submitted Mar 24, 2008
Applixware and Applix Link - Real-time spreadsheet application and development tools   
c is an integrated product line of customizable, 32-bit applications and tools for real-time decision support and rapid cross-platform application development on UNIX and Windows NT. Access to real-time data sources enables dynamic analysis and graphical modeling of live information, either through Applixware or via applications developed with Applixware by the user. Applix products have been heavily adopted by financial services firms worldwide for intensive real-time data analysis on the trading floor. Application Areas: Application development; Communications; Control system design/analysis; Financial analysis/modeling/services; Instrument manufacturers; Materials research; Vibration analysis/control.

http://web.ccr.jussieu.fr/ccr/Documentation/Calcul/matlab5v11/docs/00009/009e6.htm
Submitted Apr 07, 2000
Updated Mar 16, 2004
SimuLab - Financial engineering solutions   
Algorithms modeling and simulation company. Operations research Financial modeling Statistical modeling Monte-Carlo simulations Fixed-income, Portfolio Optimization, Risk analysis Hedging Derivatives pricing and sensitivities Structures...

http://www.SimuLab.co.il
Submitted Jun 30, 2008 by Alik Gorenshtein
Econometrics Toolbox 1.0      
Model and analyze financial and economic systems using statistical methods Econometrics Toolbox� provides functions for modeling economic principles and behavior, with a focus on volatility modeling. It lets you perform Monte Carlo simulation and forecasting with linear and nonlinear stochastic differential equations (SDEs) and build univariate ARMAX/GARCH composite models with several GARCH variants and multivariate VARMAX models. You can use the toolbox to generate minimum mean square error forecasts, estimate parameters in ARMAX/GARCH models and unrestricted/restricted VARX models, and model volatility with Heston stochastic volatility models. You can also perform diagnostic and statistical hypothesis tests, including the likelihood ratio test and variants of Dickey-Fuller and Phillips-Perron unit root tests.

http://www.mathworks.com/products/econometrics/
Submitted Nov 12, 2008 by Jeff Federico
Trading With MATLAB Blog and Code   
Here the author shares various trading strategies and their matlab implementation for Futures, Options and Stocks

http://tradingwithmatlab.blogspot.com
Submitted Jun 25, 2008 by Sivakumar
Updated Oct 20, 2008
Trading With MATLAB Blog and Code   
This Blog shows how to build an automated trading system using MATLAB and Interactive Brokers API. It also contains useful code regarding Estimation of Historical Volatility and Intraday Trading of Futures, Stocks and Options. It also contains code for Market Profile, which is used by several day traders.

http://tradingwithmatlab.blogspot.com/
Submitted Jun 16, 2008 by Sivakumar Batthala
Updated Oct 20, 2008
Financial Modelling Toolbox: Theta Suite   
Model price and hedge any financial product in 15 Minutes directly in Matlab. A full IDE for the financial model description simplifies the development time significantly. The Theta Suite supports the definition of models in ThetaML, a language with unprecedented expressive power and straightforwardness. No matter whether the option is path-dependent, has early exercise or redemption features, cliquet structure and knock-in, knock-out barriers, ThetaML can represent all features concisely.

http://www.thetaris.com/26-0-Theta-Suite.html
Submitted Jul 24, 2008 by Andreas Grau
Updated Oct 20, 2008