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Code Listing by Moeti Ncube

Code 1-10 of 13   Pages: Go to  1  2  Next >>  page  






%Author: Moeti Ncube
%This is code that can be used to backtest a trading strategy. The example strategy used was partially used in the development of a medium-frequency algorithmic trading strategy; this is a some of the backtesting coding we use to analyze tick data.

This code can be used to backtest a trading strategy for a time series that has the price vector in the first column and trading indicator in
second column....



This paper outlines a methodology for calibrating the Schwartz-Smith two factor commodity pricing model across multiple commodities such that on the valuation date:

1. The calibration produces simulations that are consistent with the...



The codes provided can be used to show that the Kalman Smoother Expectation Maximization (KSEM) methodology can be used successfully to estimate the parameter of the Schwartz-Smith model. We develop several novel adjustments to incorporate the...



In the paper "An estimation technique for Time Indexed gaussian Mixture Models", we propose a model specification that can be used to describe data with spikes, jumps, mean reversion, geometric brownian motion, you name it...



This program simulates a nonlinear dynamical system and estimates the hidden state using particle methods.

The program compares the performance of 3 particle methods (particle filter, forward backward smoother (FBS),and Maximum...



This code calibrates the heston model to any dataset of the form
of the marketdata.txt file.

Provides analytical heston and MCMC heston pricing of Option

To see an example, run the hestoncalibrationexample.m code



Suppose you have a random process x(t), that is generated from time indexed densities N(m1(t),sigma1(t)) with probability alpha, and from density N(m2(t),sigma2(t)) with probability 1-alpha.

The process x(t) is directly unobservable but...



This programs discretizes the CEV (constant elasticity of volatilty process and uses the process to price an option using Monte
Carlo methods.



This model was build for data that tends to fluctuate between different regimes but can be applied quite generally.
The data I used in this example is assumed to come from three regimes: 1-full generation, 2-partial generation, 3-little to no...



This code can be used to price binary options. A binary options have a payoff of 0 or 1. I wrote this code to price the fair value of the Intrade.com contract: (DOW to close HIGHER than prev close).