Papers and Matlab Files

March 1, 2009
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Matlab has been really fun to learn so far. It’s easy to write useful code with very few lines. In high school I co-wrote a video game in java from scratch and it was over 13k lines. Matlab takes 3 lines to create a functional neural net.

Also the file exchange has freely available functions written by users.

Here are some papers I’ve read recently with accompanying code-

1. A basic verification of the profitability of a pairs trading system on the Brazilian stock exchange. This paper is written clearly and it would be easy to replicate. Accompanying files

2. An extension of the previous paper to a synthetic pairs trading system where one member of each pair is created from a basket of securities. This is very recent and has room for improvement (how can you trade the synthetic pair without incurring high transaction costs?) but the results are promising. Written very similarly to (1), by the same author, Marcelo Perlin.

3. Markov regime change modeling. Files. I need to learn more about Markov chains, the paper is interesting however.


Matlab has been really fun to learn so far. It’s easy to write useful code with very few lines. In high school I co-wrote a video game in java from scratch and it was over 13k lines. Matlab takes 3 lines to create a functional neural net.

Also the file exchange has freely available functions written by users.

Here are some papers I’ve read recently with accompanying code-

1. A basic verification of the profitability of a pairs trading system on the Brazilian stock exchange. This paper is written clearly and it would be easy to replicate. Accompanying files

2. An extension of the previous paper to a synthetic pairs trading system where one member of each pair is created from a basket of securities. This is very recent and has room for improvement (how can you trade the synthetic pair without incurring high transaction costs?) but the results are promising. Written very similarly to (1), by the same author, Marcelo Perlin.

3. Markov regime change modeling. Files. I need to learn more about Markov chains, the paper is interesting however.