tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): Convert Stock CUSIPs to Stock Symbols with a MATLAB program
http://tradingwithmatlab.blogspot.com/2009/06/convert-stock-cusips-to-stock-symbols.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Friday, June 5, 2009. Convert Stock CUSIPs to Stock Symbols with a MATLAB program. UPDATE : Thanks to a comment, I changed the code to reflect the new changes at fidelity site. 031162100' given Amgen Inc- -AMGN. Symbols = CusipToSymbolLookUp({'031162100';'03116210';}). Function Symbols = CusipToSymbolLookUp(Cusip). CUSIPTOSYMBOLLOOKUP converts STOCK CUSIPS to STOCK Symbols.
tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): Sample Size Determination and History behind Rules of Thumbs( Why 22? Why 25? Why 30?)
http://tradingwithmatlab.blogspot.com/2008/11/sample-size-determination-and-history.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Monday, November 17, 2008. Sample Size Determination and History behind Rules of Thumbs( Why 22? Sample Size equation that is predicated on Central Limit Theorem. Correction Factor for Sample Size based on finite Population Size. Plot of SampleSize Required vs Probability:. T-distribution table VS Sample Size and closeness to Standard Normal:. P = 01:0.1:0.9;. T distribut...
tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): Estimate Historical Volatility
http://tradingwithmatlab.blogspot.com/2008/06/estimate-historical-volatility.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Sunday, June 15, 2008. Here is the MATLAB code that one could use to estimate historical volatility using different methods. Historical High Low Parkinson Volatility. Historical Garman Klass Volatility. Historical Garman Klass Volatility modified by Yang and Zhang. Historical Roger and Satchell Volatility. Historical Yang and Zhang Volatility. Low, Close prices. Low = fh(...
tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): Intraday Trading---Converting Ticks into Bars
http://tradingwithmatlab.blogspot.com/2008/06/intraday-trading-converting-ticks-into.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Sunday, June 15, 2008. Intraday Trading- -Converting Ticks into Bars. Sometimes it is easier to work with bars instead of ticks. In such cases, If we have Raw Tick Data, The following matlab programs would do the work for you. It is a collection of various methods that could be used to construct bars. Tick2bar program at the matlab file exchange:. June 8, 2010 at 1:30 AM.
tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): Calculating Implied Dividend Yield from Option Prices
http://tradingwithmatlab.blogspot.com/2009/12/calculating-implied-dividend-yield-from.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Sunday, December 6, 2009. Calculating Implied Dividend Yield from Option Prices. Here is the formula that one could use to calculate the Implied dividend yield:. PV(Dividend) = -CALL PUT (Spot - Strike) ( Strike * exp(r*T) - Strike). Where r is the interest rate to expiration. T is the time to maturity in Years. Implied Dividend Yield = PV(Dividend)/(T * Spot). September ...
tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): VIX vs S&P 500 Expected Returns Range
http://tradingwithmatlab.blogspot.com/2009/06/vix-vs-s-500-expected-returns-range.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Saturday, June 27, 2009. VIX vs S&P 500 Expected Returns Range. In this post, I give out a ready to use figure or plot that one could keep handy to relate VIX level to the Expected S&P 500 returns Range over the next 30 days. I also show how the plot is derived. DOUBLE CLICK THE PLOT FOR A BIGGER IMAGE. In general, The linear relationship is as follows:. Now let us plot u...
tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): Using Volatility Cones
http://tradingwithmatlab.blogspot.com/2009/06/using-volatility-cones_29.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Monday, June 29, 2009. This post describes what volatility cones are and how I usually use them. As with many of my posts, I will attach code to this post. One needs to calculate the spread between 30 day rolling close to close volatility and the Implied Volatility. One needs to calculate the AVERAGE of the above spread over a sufficient time period. If the spread...Curre...
tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): A simple way to Backtest Option Straddles
http://tradingwithmatlab.blogspot.com/2009/07/simple-way-to-backtest-option-straddles.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Sunday, July 26, 2009. A simple way to Backtest Option Straddles. Here is a figure that shows a stocks historical movements over the past 3 years for a 30 day rolling window period. I would be interested in a more general option-strategy backtesting framework under MATLAB/Octave. Do you have a hint where one can find one? Or do you plan to extend on this one? TSR NIFTY UP...
tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): Implied Jump for stocks Before an Important Announcement
http://tradingwithmatlab.blogspot.com/2008/07/implied-jump-for-stocks-before.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Saturday, July 19, 2008. Implied Jump for stocks Before an Important Announcement. First, assuming, sigma 1 as the front month implied volatility and sigma 2 as the second month implied volatility, forward volatility,. Sigma 12 is given by. The volatilty attributed to the event is the difference between front month volatility and forward volatility. The Expected Jump is :.
tradingwithmatlab.blogspot.com
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING): Creating Market profile with MATLAB
http://tradingwithmatlab.blogspot.com/2008/06/creating-market-profile-with-matlab.html
Quantitative Futures, stocks and Options Trading (AVAILABLE FOR MATLAB FREELANCING). Quantitative Futures, stocks and Options Trading. Sunday, June 15, 2008. Creating Market profile with MATLAB. Some Day Traders use CBOT Market Profile for Day Trading purposes. I am NOT a fan of Technical Analysis, but nevertheless, I thought why not write a matlab program to create one. Here is a quote from CBOT- -. Http:/ www.cbot.com/cbot/pub/page/0,3181,1168,00.html. Assuming tick by tick data. B = MP;%A(:,2:end) ;.