Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [matlab]

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

Matlab is a 4th-generation programming language, developed by Mathworks, used for numerical and symbolic computing and user interfaces creation.

It interfaces with external programming languages as C, C++, Java, Fortran, Python.

Created by Cleve Moler in the late of '70s, it found a strong audience within the applied mathematics field.

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Handling IQFeed events in Matlab

I need to get some specific market data for my studies, and it seems like the most convenient way for me to do this is to use IQFeed data feed and MATLAB. But unfortunately, since I'm not a seasoned MATLAB user i can't put live data into an array in…
nooby
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Implementing nonlinear optimization to find model free implied volatility using Matlab

I am trying to calculate model free implied volatility $\sigma_{MF}$ for a relative performance index using the following method: $\sigma_{MF}^2=2\sum_{i} [\frac{C(T,K_{i})}{K_{i}^2} - \frac{max(0,F-K_{i})}{K_{i}^2}]\Delta K_{i}$, where…
AbbyJ
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Matlab recessionplot

I have seen that on matlab there is the cmd recessionplot that adds bar of recessions to plots. But that is for the official US dates, do you know if there is a similar command for the european crisis as certified by cepr?
Klapaucius
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weighted probability densities in matlab

I have a set of variables (lets say a nx3 : 3 variables and n rows). I set the mean to be my current data (1x3); data for 3 variables as of today and set my covariance matrix as the identity matrix. I then calculate the probability density using…
qfd
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How can I calculate the Cumulant-Generating Function in Matlab?

Let $M(h)$ be the moment-generating function, then the cumulant generating function is given by $$K(h)=\text{ln}M(h)=\\ =\kappa_1h+\frac{1}{2!}h^2\kappa_2+\frac{1}{3!}h^3\kappa_3+\ldots$$ where $\kappa_1, \kappa_2, \ldots$, are the cumulants. If…
Shikamekika SK
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Matlab - Differences between rng and rand

I was trying to run some Monte-Carlo simulations and if I used: rng(seed, 'Twister'); For some reason I would get "Option Values Can not be Negative" errors in the blsimpv function, but if I just use the rand (seed) function, the problem seems to be…
AZhu
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Matlab loop statement is driving me mad

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: if d(k)<=-1.5 || d(k) >=1.5 k tab=tab+1 6 for o=k:k-20 5 …
cryptex
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