Often, it is required to run multiple similar simulation models, e.g. for computation of Greeks like Delta, Gamma, Vega, etc. Another reason for multiple calls is that one wants to estimate the accuracy of a pricing. Using the Matlab Parallel Toolbox, this can be accelerated substantially.
There is an interesting and brand new project from The MathWorks: Trendy.
There are many reasons, why your Excel sheet is slow and there are many things what you can do about a slow Excel sheet. Your sheet is slow because you use a large data set, you use slow built-in functions, you implemented a slow user-defined function (UDF) or you access a slow external library. So, what […]
In the previous post, we saw how to backtest a quantitative trading strategy. The result was, that we suspected that we should be able to find better constants for the MACD trading signal strategy. Now, we will use Matlab and Theta Suite in order to create an efficient optimization. Furthermore, we create a simple visualization […]
Many popular quantitative trading strategies are public for quite a while. Now, if you like to utilize such a strategy with real money, you must make sure that your strategy performs well. For simple strategies, MS Excel is perfect for this task. But, since we would like to use an optimization and a specific visualization […]
For those how are involved in end-of-year reporting calculations, I wish you successful working days with not too many unforeseeable interruptions and surprises…. For all the others, I wish you a few relaxing days and all the best for 2012! Best wishes, Andreas
Since version 2008a, the Matlab m-language is extended to include some object orientation. This object-oriented programming style allows reuse, inheritance, encapsulation, and reference behavior. Example The following m-code is a generic abstract class for implementing classes which generate processes accessible in ThetaML. The object following class generates a Geometric Brownian Motion. This process can be accessed in […]
A brilliant website is the perfect example for user friendly interactive data visualization: Gapminder. This website presents statistical data about the countries of the world and how it changes in time. A user-friendly AJAX user interface allows you to get gain new insights exploring this data. They have done a great job. Google bought this […]
One of the simple models which lead to chaos is the logistic growth process. Using ThetaML, a technology designed for modeling and analyzing stochastic processes, we can implement a very short logistic growth model and get more insight than usual. Logistic growth model Suppose, we insert a simple logistic model: This can be done in […]
It is possible to connect Java and MS Excel using various technologies. Some of theses technologies include COM and DCOM wrappers like Groovy Scriptom, or J-Interop. Or other direct addin solutions like XLLoop. In this article, we want to follow a different paths: Webservices with SOAP. This connection type is designed for the internet with […]
Computer Aided Finance - Money and Math 