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Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck To walk through the code and for a thorough description, refer toA. Meucci (2009) , "Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck",Latest version of article and code available at http://symmys.com/node/132 Platforms: Matlab


Added: June 28, 2013 | Visits: 256

Review of Discrete and Continuous Processes in Finance 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 (18): Review of Discrete and Continuous Processes in Finance Download

Added: August 26, 2013 | Visits: 315

Managing Diversification To walk through the code and for a thorough description, refer toSee A. Meucci (2009), "Managing Diversification"Latest version of article and code available at http://symmys.com/node/199 Platforms: Matlab

License: Freeware Size: 10 KB Download (18): Managing Diversification Download

Added: April 17, 2013 | Visits: 215

Estimation of Structured t-Copulas For a detailed description please refer to A. Meucci (2008) "Estimation of Structured t-Copulas"Latest version of article and code available at http://symmys.com/node/134 Platforms: Matlab

License: Freeware Size: 61.44 KB Download (18): Estimation of Structured t-Copulas Download

Added: July 30, 2013 | Visits: 275

Fully Flexible Extreme Views To walk through the code and for a thorough description, refer toA. Meucci, D. Ardia, S.Keel (2010) "Fully Flexible Extreme Views",Latest version of article and code available at http://symmys.com/node/159 Platforms: Matlab

License: Freeware Size: 20.48 KB Download (18): Fully Flexible Extreme Views Download

Added: April 20, 2013 | Visits: 213

Fully Flexible Views and Stress-testing To walk through the code and for a thorough description, refer toA. Meucci, "Fully Flexible Views: Theory and Practice"Latest version of article and code available at http://symmys.com/node/158 Platforms: Matlab

License: Freeware Size: 13.83 MB Download (18): Fully Flexible Views and Stress-testing Download

Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics To walk through the code and for a thorough description, refer toMeucci, A. (2010) "Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics"Latest version of article and code available at http://symmys.com/node/136 Platforms: Matlab


Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management To walk through the code and for a thorough description, refer toA. Meucci, (2010) "Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management",Latest version of code and article available at http://symmys.com/node/141 Platforms: Matlab


Added: April 06, 2013 | Visits: 251

Robust Bayesian Allocation To walk through the code and for a thorough description, refer to A. Meucci (2005), "Robust Bayesian Allocation".Latest version of article and code available at http://symmys.com/node/102 Platforms: Matlab

License: Shareware Cost: $0.00 USD Size: 122.88 KB Download (18): Robust Bayesian Allocation Download

Added: July 12, 2013 | Visits: 282

Simulations with Exact Means and Covariances Multivariate normal simulations where sample mean and covariances match the respective population moments, refer toA. Meucci (2009), "Simulations with Exact Means and Covariances",Latest version of article and code available at http://symmys.com/node/162 Platforms: Matlab

License: Freeware Size: 10 KB Download (19): Simulations with Exact Means and Covariances Download

Added: June 06, 2013 | Visits: 275

Factors on Demand Three case studies: random matrix theory for estimation vs. cross-sectional model for attribution; hedging based on full-repricing instead of Black-Scholes deltas; heuristcs for best K attribution/hedging factors out NTo walk through the code and for a thorough description, seeMeucci A., "Factors... Platforms: Matlab

License: Freeware Size: 4.08 MB Download (18): Factors on Demand Download

Added: June 02, 2013 | Visits: 178

Review of Dynamic Allocation Strategies To walk through the code and for a thorough description, seeMeucci A., "Review of Dynamic Allocation Strategies"Latest version of article and code available at http://symmys.com/node/153 Platforms: Matlab

License: Freeware Size: 10 KB Download (18): Review of Dynamic Allocation Strategies Download