2019-12-06T08:50:19Z (GMT) by
This is collection of Legacy MATLAB project code that contains a variety of quantitative and statistical finance code, scriptfiles, function and objects. The code collection is provided as a set of toolboxes.
Each toolbox contains a "Contents.m" file that describe the purpose, structure and contents of each toolbox. The software targets a research and development use case, as such the scripts, functions, objects and test code files relating to applications in Quantitative Finance are not fit for any specific commercial application or purpose. Many of the code patterns are used for Teaching and Learning.
The collection includes a variety of toolboxes supporting various collaborative research projects that included work with a variety of students and research collaborators. Specific code contributions are acknowledge in the particular toolboxes and code patterns, each toolbox is described in detail in the toolbox content files "Content.m" in the root path of each toolbox path within the collection.
The code is maintained on a public github repository:
This is the first release of the collection and contains the following categories:
1. "South African Fixed Income" Toolbox: (See MATLAB-quant-finance/besa/Contents.m)
2. Demo "Calibration" Log-Periodic Precursor Toolbox": (See MATLAB-quant-finance/calibrate/Contents.m)
3. "Covariance" Toolbox (See MATLAB-quant-finance/covtools/Contents.m)
4. Carr-Madan Option Pricing "Equity Model" Toolbox: (See MATLAB-quant-finance/equity/equity/Contents.m)
5. "Exponentially Weighted Moving Average" Online Robust Regression Toolbox: (See MATLAB-quant-finance/ewma/Contents.m)
6. Legacy overloaded objects "FINTS' Toolbox: (See MATLAB-quant-finance/fints/Contents.m)
7. "General" Quant Finance Data, String and Date Management Toolbox (See MATLAB-quant-finance/general/Contents.m)
8. "High-Frequency Time-series" (HFTS) Object : (See MATLAB-quant-finance/hfts/hfts.m)
9. "High-Frequency" Covariance Estimation Toolbox: MATLAB-quant-finance/highfreq/ftcor/Contents.m
10. "Scaling" Random Matric Theory (RMT) Toolbox: (See MATLAB-quant-finance/scaling/Contents.m)
11. "Sectors" (Old) Sector and States Toolbox: (See MATLAB-quant-finance/sectors/Contents.m)
12. "Technical" Analysis Toolbox: (See MATLAB-quant-finance/technical/Contents.m)
Acknowledgements: Diane Wilcox, Dieter Hendricks, Bongani Mbambiso, Chanel Malherbe, Grant Grobbelaar, Raphael Nkomo.