References for MCMC Markov Chain Monte Carlo Simulation for Matlab

(Last Updated On: April 10, 2014)

Reference for MCMC Markov Chain Monte Carlo Simulation for Matlab

Hoestly, the help systems of Matlab does not specifially point to any resources so I decided to research some of these below

I am now looking at MCMC Markov Chain Monte Carlo Simulation for Matlab. This is a widely respected way of doing market analysis so here are some links:

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http://www2.math.su.se/matstat/und/bayes/pdf/Lab1eng.pdf <– some basic Maltab sample code as set up as tutorial

http://www.cs.ubc.ca/~murphyk/Teaching/CS340-Fall06/reading/mcmc.pdf <–somewhat advanced but has some decent code with function examples

https://www.msu.edu/~blackj/Scan_2003_02_12/Chapter_11_Markov_Chain_Monte_Carlo_Methods.pdf <–decent explanation with source code examples (no data source)

http://www.mathworks.com/products/statistics/code-examples.html;jsessionid=cb37a085985635731a702db4271d?file=/products/demos/shipping/stats/bayesdemo.html <–the slice sampler is an MCMC algorithm but will use Bayes in future demos

http://helios.fmi.fi/~lainema/mcmc/ <– best self contained framework with no external toolboxes needed

http://helios.fmi.fi/~lainema/mcmc/examples.html <–this contains the best real world example with http://helios.fmi.fi/~lainema/mcmc/ex/normalex.html

I confirmed it worked!

http://www.math.wsu.edu/faculty/genz/416/lect/l10-4.pdf <–scant explanation with code

http://matriisi.ee.tut.fi/courses/MAT-52500/part_II_lecture_6.pdf <– decent Powerpoint but not no example source code

Specific for finance:

http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf <- specific options/portfolio examples provided with source

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1964923 <- need to register at SSRN

http://stanfordphd.com/Markov_Chain_Monte_Carlo.html <– no specific code examples

http://homepages.inf.ed.ac.uk/imurray2/teaching/09mlss/slides.pdf <– easy to consumer Powerpoint slides with some code

https://www.google.ca/url?sa=t&rct=j&q=&esrc=s&source=web&cd=6&cad=rja&uact=8&ved=0CFsQFjAF&url=http%3A%2F%2Fwww.math.washington.edu%2F~morrow%2F336_11%2Fpapers%2Fjie.doc&ei=IdhGU9yXJebLsAS4j4DoDA&usg=AFQjCNG_VGVrMkXZmURRdBOLG6magpm1YA&sig2=VqEQ60VekMCsMaTYxRs6iQ&bvm=bv.64507335,d.b2I <– Word Doc download but scant

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Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs