Brownian
The two programs perform Brownian Dynamic simulations to compute rheological properties of FENE dumbbell suspensions. When the applied flow is shear flow, we calculate the first and second normal stresses as well as the viscosity. For the case of an applied extensional flow, we obtain the value...
Platforms: Matlab
License: Freeware | Size: 20.48 KB | Download (56): Brownian Dynamic Simulation to Determine Rheological Properties of FENE Dumbbell Suspensions Download |
- Plot arithmetic and geometric Brownian motions- Plot Brownian bridges, 2D and 3D Brownian motions- Plot some random paths for the the interest spot rate: The two models you can chose from are the Vasicek and the Cox- Ingersoll-Ross (CIR) models
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (43): Plot Some Paths Download |
This code calculates the generalized Hurst exponent H(q) of a stochastic variable x(t) (a time series) from the scaling of the renormalized q-moments of the distribution/ ~ r^[qH(q)]The value of H(q) give indication about the fractal nature of the signal. H(q) = 0.5 corresponds to a Brownian...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (65): Generalized Hurst exponent Download |
Simulates a Multifractal Model of Asset Return using a multiplicative lognormal cascade See the following papaer A Multifractal Model of Asset Returns by B Mandelbrot - 1997The current implementation uses the generator for the fractional brownian motion from B. Scott Jackson. Many thanks!
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (47): Multifractal Model of Asset Returns (MMAR) Download |
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...We then develop an estimation procedures to extract the parameters from...
Platforms: Matlab
License: Freeware | Size: 163.84 KB | Download (43): Parameter Estimation Technique for general datasets Download |
Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.To walk through the code and for a thorough description, refer to A. Meucci (2009), "Review...
Platforms: Matlab
License: Freeware | Size: 4.69 MB | Download (43): Review of Discrete and Continuous Processes in Finance Download |
gOpenMol is a tool for the visualization and analysis of molecular structures and their chemical properties. The program uses Tcl/Tk scripting engine and can thus be easily extended without modifying the kernel code. gOpenMol can also be extended by writing extensions using sharable objects...
Platforms: *nix
License: Freeware | Size: 28.24 MB | Download (51): gOpenMol Download |