MATLAB COMPUTATIONAL FINANCE CONFERENCE 2016

Demo Stations

Incorporate News Events into Your Portfolio and Trading Strategies

We demo several methods to interface RavenPack News Analytics with MATLAB®, incorporating earnings announcements and news sentiment to inform historical analysis of Twitter Inc. stock price as well as enabling sentiment monitoring.

Technology Focus: Computational finance, news analytics
Key Products: MATLAB, Datafeed Toolbox™


Explore Risk Contagion Using Graph Theory

Recent financial crises have heightened awareness of risk contagion and systemic risk. Financial professionals are increasingly constructing models and network visualizations to assess the impacts of risks and their dependencies on investments, portfolios, and business operations. In this demo, we use graph theory capabilities in MATLAB to quantify dependent relationships, visualize them over time, and embed graphs and networks into the 2D plane.

Technology Focus: Computational finance, data science
Key Products: MATLAB, Statistics and Machine Learning Toolbox


Estimate Option-Implied Probability Distributions for Asset Pricing

In this demo, MATLAB is used to create a forecast for the performance of an asset, starting with relatively scarce option price data observed from the market. We compute implied volatility from market data, interpolate using the SABR model, estimate implied probability densities, and simulate and present the forecast uncertainty in a fan chart.

Technology Focus: Computational finance
Key Products: MATLAB, Financial Instruments Toolbox™, Financial Toolbox™, Optimization Toolbox™, Statistics and Machine Learning Toolbox™


Use Deep Learning to Identify Objects in Real Time

Pattern recognition and deep learning are increasingly used in financial services, particularly among data science teams. Video and image processing are increasingly useful in document analysis, insurance, and FinTech applications. Learn how to construct a classifier that can automatically detect objects using streaming images from a live video feed.

Technology Focus: Data science, computer vision
Key Products: MATLAB, Statistics and Machine Learning Toolbox, Image Processing Toolbox™, Computer Vision System Toolbox™


Web Apps Powered by MATLAB: Asset Allocation Example

For portfolio management, wealth management, and risk teams, distributing analytics that allow interactive analysis around risk and portfolio scenarios to colleagues, executives, clients, and partners can offer a competitive edge. Find out how asset allocation models can be run by thousands of financial advisors, clients, and colleagues concurrently.

Technology Focus: Deploying MATLAB algorithms, portfolio management
Key Products: MATLAB, Statistics and Machine Learning Toolbox, Financial Toolbox, MATLAB Compiler™, MATLAB Compiler SDK™, MATLAB Production Server™


Web Apps Powered by MATLAB: Energy Load Forecasting Example

Increasingly, organisations seek to integrate sophisticated, proprietary analytics as a part of their standard operations, enabling them to keep their competitive edge. Discover how to share MATLAB analytics with business users using this example of web application for energy load predictions.

Technology Focus: Deploying MATLAB algorithms, predictive modelling
Key Products: MATLAB, Statistics and Machine Learning Toolbox, MATLAB Compiler, MATLAB Compiler SDK, MATLAB Production Server


Automate Financial Report Generation

All financial research desks provide reports, but efficient desks automate interactive report creation. These reports are populated with plots, profiles, tables, and your cutting-edge findings, saving time and increasing productivity. See how you can use MATLAB to build and deploy production-quality reports, immediately.

Technology Focus: Computational finance, report generation
Key Products: MATLAB Report Generator™


Macro-Stress Testing with MATLAB

We demonstrate concepts of scenario generation and stress testing with MATLAB to accompany the conference master class “Building, Scaling, and Implementing Risk Model and Stress Test Frameworks.” We discuss data import from SQLite databases, scenario generation methods, and macroeconomic modelling, while considering object-oriented programming to support a modular stress testing framework. We also describe how you can make the methods available to those who need them with MATLAB Production Server™.

Technology Focus: Computational finance, risk management, econometrics
Key Products: MATLAB, Database Toolbox™, Datafeed Toolbox, Econometrics Toolbox™, Parallel Computing Toolbox™, MATLAB Production Server


Microeconometrics with MATLAB

Abi Adams from University of Oxford discusses themes and topics from the book Microeconometrics and MATLAB: An Introduction by Abigail Adams, Damian Clarke, and Simon Quinn (Oxford University Press, 2016).

Technology Focus: Econometrics
Key Products: MATLAB, Statistics and Machine Learning Toolbox, Econometrics Toolbox, Optimization Toolbox™, Parallel Computing Toolbox


Smart Beta, Risk Parity, and Stock Selection Examples

Modelling alpha or (smart) beta, or applying stock selection methodologies that draw on factor modelling? In a series of demos, we show how you can build factor-based models in MATLAB, in particular taking advantage of efficient optimization routines for improving strategy performance.

Technology Focus: Portfolio management, factor analysis
Key Products: MATLAB, Statistics and Machine Learning Toolbox, Optimization Toolbox