
MATLAB
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EricYeung
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Covariance Matrix
Excel x y mean(x) mean(y) XA:x-mean(x) YA:y-mean(y) XA*YA sum(XA*YA) COV:sum(XA*YA)/(COUNT-1) 4 2 4.1 2.08 -0.1 -0.0原创 2011-07-14 14:12:51 · 711 阅读 · 0 评论 -
EMA & MACD calculation
function [result] = myema(data, period)count=size(data,1);if(period count) error('Period element count.\n');end;result=nan(count,1);sf=原创 2011-07-16 13:10:55 · 924 阅读 · 0 评论 -
Matlab useful tips
A([1 2 3]) % [] as a set of subscriptsx=[1 2 3] % [] as vertcatx=[1;2;3] % [] as horzcat1) define variablex=52) list all variableswho/whos3) clear all variablesclear4) size() function5)What does y(:,1原创 2011-06-03 18:17:00 · 1414 阅读 · 0 评论 -
Matlab tips 2
%% plot multi curve shared with same date list in X axis ccylist={'USDEUR Curncy', 'USDJPY Curncy', 'USDCAD Curncy', 'USDCHF Curncy', 'USDG原创 2011-07-29 11:07:32 · 852 阅读 · 0 评论 -
matlab code snippet #3
%%% bloomberg: intraday tick VALUE_TRADE=1; VALUE_BESTBID=31; VALUE_BESTASK=32; c=bloomberg; % value_type,timestamp,price,size raw=fetch(c,'NIX1 Index', 'TIMESERIES','11/15/2011'); I =原创 2011-11-17 17:17:22 · 976 阅读 · 0 评论