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jplv7
jplv7
 
 
AUDCAD_daily.m
AUDCAD_daily.m
 
 
AUDCAD_unequal.m
AUDCAD_unequal.m
 
 
AUD_interestRate.mat
AUD_interestRate.mat
 
 
CAD_interestRate.mat
CAD_interestRate.mat
 
 
CL_rev.m
CL_rev.m
 
 
GLD_GC.m
GLD_GC.m
 
 
KF_beta_EWA_EWC.m
KF_beta_EWA_EWC.m
 
 
LogPriceSpread.m
LogPriceSpread.m
 
 
PriceSpread.m
PriceSpread.m
 
 
README.md
README.md
 
 
Ratio.m
Ratio.m
 
 
TU_mom.m
TU_mom.m
 
 
TU_mom_hypothesisTest.m
TU_mom_hypothesisTest.m
 
 
VIX.csv
VIX.csv
 
 
VX_ES.m
VX_ES.m
 
 
VX_ES_rollreturn.m
VX_ES_rollreturn.m
 
 
XLE_CL_rollReturn.m
XLE_CL_rollReturn.m
 
 
andrewlo_2007_2012.m
andrewlo_2007_2012.m
 
 
backshift.m
backshift.m
 
 
bog.m
bog.m
 
 
bollinger.m
bollinger.m
 
 
calculateMaxDD.m
calculateMaxDD.m
 
 
calculateReturns.m
calculateReturns.m
 
 
calendarSpdsMeanReversion.m
calendarSpdsMeanReversion.m
 
 
cointegrationTests.m
cointegrationTests.m
 
 
correlationTest.m
correlationTest.m
 
 
earnannFile.mat
earnannFile.mat
 
 
estimateFuturesReturns.m
estimateFuturesReturns.m
 
 
example_2_6.m
example_2_6.m
 
 
fillMissingData.m
fillMissingData.m
 
 
fwdshift.m
fwdshift.m
 
 
gapFutures_FSTX.m
gapFutures_FSTX.m
 
 
genhurst.m
genhurst.m
 
 
get.sh
get.sh
 
 
indexArb.m
indexArb.m
 
 
inputDataDaily_BR_20120813.mat
inputDataDaily_BR_20120813.mat
 
 
inputDataDaily_C2_20120813.mat
inputDataDaily_C2_20120813.mat
 
 
inputDataDaily_CL_20120502.mat
inputDataDaily_CL_20120502.mat
 
 
inputDataDaily_CL_20120813.mat
inputDataDaily_CL_20120813.mat
 
 
inputDataDaily_HG_20120813.mat
inputDataDaily_HG_20120813.mat
 
 
inputDataDaily_HO2_20120813.mat
inputDataDaily_HO2_20120813.mat
 
 
inputDataDaily_TU_20120813.mat
inputDataDaily_TU_20120813.mat
 
 
inputDataDaily_VX_20120507.mat
inputDataDaily_VX_20120507.mat
 
 
inputDataOHLCDaily_20120504.mat
inputDataOHLCDaily_20120504.mat
 
 
inputDataOHLCDaily_20120507.mat
inputDataOHLCDaily_20120507.mat
 
 
inputDataOHLCDaily_20120511.mat
inputDataOHLCDaily_20120511.mat
 
 
inputDataOHLCDaily_20120517.mat
inputDataOHLCDaily_20120517.mat
 
 
inputData_ETF.csv
inputData_ETF.csv
 
 
inputData_ETF.mat
inputData_ETF.mat
 
 
inputData_GC_1600_20100802.mat
inputData_GC_1600_20100802.mat
 
 
kentdaniel.m
kentdaniel.m
 
 
monteCarloOptimLeverage.m
monteCarloOptimLeverage.m
 
 
movingAvg.m
movingAvg.m
 
 
movingStd.m
movingStd.m
 
 
parseEarningsCalendarFromEarningsDotCom.m
parseEarningsCalendarFromEarningsDotCom.m
 
 
pead.m
pead.m
 
 
read_mat.py
read_mat.py
 
 
run.sh
run.sh
 
 
smartMovingAvg.m
smartMovingAvg.m
 
 
smartMovingStd.m
smartMovingStd.m
 
 
smartmean.m
smartmean.m
 
 
smartstd.m
smartstd.m
 
 
smartsum.m
smartsum.m
 
 
stationarityTests.m
stationarityTests.m
 
 
test_01.png
test_01.png
 
 
test_02.png
test_02.png
 
 
tmp.m
tmp.m
 
 

README.md