Exponential Smoothing

Engineers, scientists, and financial analysts frequently use optimization methods to solve computationally expensive problems such as smoothing the large computational meshes used in fluid dynamic simulations, performing image registration, or analyzing high-dimensional financial portfolios....

In this set of files, I propose a simple CPPI (Constant Proportion Portfolio insurance) implementation. One can run the backtesting of such a strategy, playing with the parameters of the strategy such as Multiplier (Risk Exposure), or Smoothing factor.A set of slides brifly reminf the basics of a...

Instructions:1. Give the symbol of the stock.2. Give today's date in the specific format (months-days-year).3. 'GET DATA' button fetches the data from Yahoo server.4. Choose the number of days you want to examine.5. Pick the fast and slow averages used by the functions (remember fast has to be...


Platforms: Matlab

The Central Limit Theorem (CLT) states that the sample average of N i.i.d. random variables approaches the normaldistribution.This script displays the probability density function of the sample average of N i.i.d variables with respect to N. The variables can be distributed according to a chi-2,...


Platforms: Matlab

The submission considers first-order exponential-decay Hawkes processes with constant unconditional intensities, and presentsa) a calculation of point-time intensities for constituent series of a multivariate process;b) a plotting function visualizing intensity dynamics and event occurrences of a...


Platforms: Matlab

SPECTRAL_MVA is a GUI for running Multivariate analysis of spectroscopic dataInitially designed for analysis of X-ray Photoelectron spectra, can be used for analysis of any type of data tables, containing spectra or any other dataOpens MAT files with or without a variable X. Opens VMS files (XPS...


Platforms: Matlab

It calculates the Tillson moving average. The user is able to change the parameters such as the smoothing sweeps and the volume factor


Platforms: Matlab

There is no selection in Curve Fitting Toolbox that the property of the plot could be changed, for example, log plot, loglog plot. This is useful expecially when you are fitting a log or exponential curve. Help included.


Platforms: Matlab

Kernel Regression ToolboxVersion 1.0 (R14) 01-Aug-2004General information. Comprises functions to carry out kernel regressions.General Functions: ykr - Higher order olynomial kernel regression ykr0 - 0-th order kernel regression wfunc - Exponential matrix theory kernal functions gfunc -...


Platforms: Matlab

Simple VaR Calculator provides: - Evaluation of return distribution of single asset or portfolio of assets; - Volatility forecasts using moving average and exponential algorithm;- Value at Risk of single asset or portfolio measurement using parametric and historical simulation.- Historical data...


Platforms: Matlab

POLYFIT can fit a polynomial of given ORDer to vectorial data, using as independent variable data index, rescaled between -1 and 1. Similarly, BIPFIT fits a bipolynomial of given orders (a matrix) to matrix data.POLYVAL can calculate the VALues of a POLYnomial on an equidistant abscissa x, scaled...


Platforms: Matlab

Non-parametric regression is widely used in many scientific and engineering areas, such as image processing and pattern recognition.Non-parametric regression is about to estimate the conditional expectation of a random variable:E(Y|X) = f(X)where f is a non-parametric function.Based on the kernel...


Platforms: Matlab

The Anderson-Darling test (Anderson and Darling, 1952) is used to test if a sample of data comes from a specific distribution. It is a modification of the Kolmogorov-Smirnov (K-S) test and gives more weight to the tails than the K-S test. The K-S test is distribution free in the sense that the...


Platforms: Matlab

The Anderson-Darling test (Anderson and Darling, 1952) is used to test if a sample of data comes from a specific distribution. It is a modification of the Kolmogorov-Smirnov (K-S) test and gives more weight to the tails than the K-S test. The K-S test is distribution free in the sense that the...


Platforms: Matlab

This collection generates random variables and vectors of random variables with various distributions, including Bernoulli, geometric, exponential, Gaussian, Poisson, discrete uniform, and continuous uniform, based on the parameters you input to the function.


Platforms: Matlab

This function can be used to obtain smooth function by increasing number of points of the function.


Platforms: Matlab

MOVING will compute moving averages of order n (best taken as odd) Usage: y=moving(x,n[,fun]) where x is the input vector (or matrix) to be smoothed. m is number of points to average over (best odd, but even works) y is output vector of same length as x fun (optional) is a custom function rather...


Platforms: Matlab

ABSTRANS Convert spectral absorbance to transmitanceTRANSABS Convert spectral transmitance to absorbanceSNV Standard Normal VariateSAVGOL Savitsky-Golay smoothing and differentiationNORMALIZ Normalize matrix rows dividing by its normNORMXAS Normalize XAS spectra to absorbance range from 0 to 1MSC...


Platforms: Matlab

Directions to run the file.1. Unzip the file "TradingStrat.zip" so that you'll get the folder "TradingStrat".2. Set your working directory as "TradingStrat > CSV" (The CSV folder holds the comma separated values data which is required to use the back tester)3. Run the file 'runCSV.mat' by typing...


Platforms: Matlab

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 A-Posterior Smoother (MAP).It computes the likelihood and MSE of each...


Platforms: Matlab