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MATLAB Course Class Strucuture
MATLAB Course Class Strucuture
MATLAB Course Class Strucuture
The course will take 50 hours to be prepared and can be launched as a recorded course on freegregmatclass.com. All .m files are available on internet which can be accessed anytime from anywhere for revising the class discussions. Quotation: Finance is physics, and maths is the language of physics. Raw maths cannot be linked to physics without proper understanding of physics, hence physics needs to be studied and linked with maths as and where required. Course is divided into 15 classes: 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. Intro to MATLAB; comparison with SAS, R and other tools; jobs Functions, data handling, Array, structures, Advanced data manipulation, graphics display Financial applications: FI, portfolio and Fin Time series Financial terms that are used Black schools, Ito, other quant finance theories Financial time series terms and data prep Financial time series advanced functions FRM 2 book 1 ( risk in general ) FRM 2 book 2 (credit risk) Portfolio optimization and analysis of measures Monte Carlo simulation Technical Analysis, Algorithmic trading and MATLAB CMT and Algo trading Revision, practice and doubt session
Implementation: Each class is of 10 minutes, with 10 slides excluding the trivia, and for the 1 hour it will be of 40 slides.
Class 1 agenda:
Utility of Course How it takes your beyond excel Comparison of MATALB SAS R Excel/VBA 1. As far as the comparison goes, R vs MATLAB, MATLAB is much easier and the only reason people do R in west is because R is free and MATLAB is very expensive. 2. As per my knowledge R and SAS are not so much user friendly, although when it comes to hardcore data handling SAS is much much better. MATLAB is good for easier applications. Few job profiles: 1. 2. 3. Bond spreads, CDS, fixed income etc (M) VAR, PoD, bond portfolio, companies bond, trading data and VAR for that, etc (G) Data cleaning for Time series, other data cleaning and optimizations (E)
[1]personal.anderson.ucla.edu/kyle.matoba.2014/class1.pdf
Struct http://www.mathworks.in/help/techdoc/ref/struct.html
1. 2. 3. 4. 5. 6.
For those who have not done Programming before the logical flow like For statement becomes the first Hurdle Regression using MATLAB Symbolic computations Making Chart: Polyval(c,x) to make the long elements that can be then used for making chart Different way to make different type of matrix, like equal, incremental etc Matrix division vs Element by element division
Recommended readings:
1. 2. [Introductory Course to Matlab with Financial Case Studies by Panayiotis Andreou PhD Candidate PBA UCY] [MATLAB R/ R Reference July 14, 2011by David Hiebeler]
Book Recommended for the session: 1. 2. MATLAB Basics and Beyond; This book has lot of graphic and graphics and data type forms. MATLAB Primer
Generic Knowledge about the industry needed: 1. 2. 3. 4. Spreads changing Bank Rating Consumer Shorting CDS Causes and Role of Goldman on Greece Crisis
4. 5.
Class 12 agenda: Monte Carlo, other miscellaneous technique Class 13 & 14 agenda: Algorithmic trading and Technical Analysis
1. 2. Trading MATLAB and importance of Visualization Commodity trading in MATLAB
Class 15 agenda: Introduction to HPC, Symbolic computation toolbox. Future work and more research areas Revision, Doubts, projects
References:
References http://www.mathworks.in/help/techdoc/ref/struct.html http://www.mathworks.in/help/techdoc/ref/size.html http://www.mathworks.in/help/techdoc/ref/f16-42340.html http://www.mathworks.in/products/matlab/demos.html?file=/products/demos/shipping/matlab/nddemo.html