Community Profile

Moeti Ncube

Last seen: 6 mesi fa | Attivo dal 2010

Followers: 0 Following: 0

Contatto

Proprietary Trader at Nextera Energy. I have an interest in using Matlab to analyse large datasets, run simulations, and algorithmic trading.

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Inviato

Bitcoin Random Number Generator
Pulls the latest Bitcoin block hashes & processes it through a hash function to obtain a binary output (either 0 or 1),

11 mesi fa | 2 download |

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Several algorithmic trading strategies on the stock ticker SPY
Replication of several trading strategies presented on quantifiedstrategies.com

circa 8 anni fa | 4 download |

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CME group web scraper
Scrapes natural gas options data from the CME group options exchange

circa 8 anni fa | 1 download |

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Historical Hourly Weather Scraper
Scrapes Historical Hourly Weather Data From User Specified Zip Codes

circa 9 anni fa | 2 download |

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Mean Variance Portfolio Optimization of S&P 500 Stocks
Example Portfolio optimization that can be used for backtesting cross-sectional stock strategies

oltre 9 anni fa | 2 download |

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A simple yet powerful model for simulating spot and forward prices
A novel procedure that can be used for Monte Carlo pricing of commodities

oltre 10 anni fa | 5 download |

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Calibration of Forward Price, Volatility, and Correlations across multiple assets
Calibration of multiple Fwd Prices and Vol Curves

oltre 12 anni fa | 2 download |

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Binary Option Pricing Model
Price Binary Options

quasi 13 anni fa | 1 download |

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Heston Model Calibration and Simulation
Calibrated the Heston Model to market Option prices

quasi 13 anni fa | 5 download |

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Nonparametric Estimation of Regime Switching Data
Methodology from simulated data without any modeling assumptions

circa 13 anni fa | 2 download |

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Simulation of Forward Curve using PCA (principle component analysis)
Method of simulation forward curves

oltre 13 anni fa | 3 download |

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Time Series estimation of Cyclical data process
Procedure for estimation cyclical data

oltre 13 anni fa | 1 download |

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Simulation of CEV process
Constant Elasticity of Variance (CEV) process

oltre 13 anni fa | 2 download |

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Particle Filter comparison with Smoothing Methods
Compares Particle filtering to smoother

oltre 13 anni fa | 2 download |

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Backtesting Code for Algorithmic Trading Strategy
Code to Backtest trading strategy

oltre 13 anni fa | 2 download |

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Particle Smoothing Expectation Maximization Procedure
An estimation technique for time series data. Extension to previous code

oltre 13 anni fa | 3 download |

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Calibration Method for the Schwartz-Smith Model
A Kalman Smoother Expectation Maximization Procedure

oltre 13 anni fa | 6 download |

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Simulation of Schwartz-Smith two Factor model
Replicated results given in Schwartz-Smith paper.

oltre 13 anni fa | 3 download |

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Parameter Estimation Technique for general datasets
An estimation procedure for many types of data

oltre 13 anni fa | 2 download |